Multilayer perceptron (MLP), normally trained by the offline backpropagation algorithm, could not adapt to the changing air quality system and subsequently underperforms. To improve this, the extended Kalman filter is adopted into the learning algorithm to build a time-varying multilayer perceptron (TVMLP) in this study. Application of the TVMLP to model the daily averaged concentration of the respirable suspended particulates with aerodynamic diameter of not more than 10μm (PM10) in Macau shows statistically significant improvement on the performance indicators over the MLP counterpart. In addition, the adaptive learning algorithm could also address explicitly the uncertainty of the prediction so that confidence intervals can be provided. More importantly, the adaptiveness of the TVMLP gives prediction improvement on the region of higher particulate concentrations that the public concerns.