<p>This paper is about state estimation of timed probabilistic discrete event systems. The main contribution is to propose general procedures for developing state estimation approaches based on artificial neural networks. It is assumed that no formal model of the system exists but a data set is available, which contains the history of the timed behaviour of the system. This dataset is exploited to develop a neural network model that uses both logical and temporal information gathered during the functioning of the system as inputs and provides the state probability vector as output. Two main approaches are proposed: (<Emphasis Type="BoldItalic">i</Emphasis>) state estimation of timed probabilistic discrete event systems over observations: in this case the state estimate is reconstructed at the occurrence of each new observation; (<Emphasis Type="BoldItalic">ii</Emphasis>) state estimation of timed probabilistic discrete event systems over time: in this case the state estimate is reconstructed at each clock time increment. For each approach, the paper outlines the process of data preprocessing, model building and implementation. The presented approaches pave the way for further applications of machine learning in discrete event systems.</p>