For several years, there has been an ongoing discussion about appropriate methodological tools to be applied to observational data in pharmacoepidemiological studies. It is now suggested by our research group that artificial neural networks (ANN) might be advantageous in some cases for classification purposes when compared with discriminant analysis. This is due to their inherent capability to detect complex linear and nonlinear functions in multivariate data sets, the possibility of including data on different scales in the same model, as well as their relative resistance to "noisy" input. In this paper, a short introduction is given to the basics of neural networks and possible applications. For demonstration, a comparison between artificial neural networks and discriminant analysis was performed on a multivariate data set, consisting of observational data of 19738 patients treated with fluoxetine. It was tested, which of the two statistical tools outperforms the two other in regard to the therapeutic response prediction from the clinical input data. Essentially, it was found that neither discriminant analysis nor ANN are able to predict the clinical outcome on the basis of the employed clinical variables. Applying ANN, we were able to rule out the possibility of undetected suppressor effects to a greater extent than would have been possible by the exclusive application of discriminant analysis.