Because of overfitting and the improvement of generalization capability (GC) available in the construction of forecasting models using artificial neural network (ANN), a new method is proposed for model establishment by means of making a low-dimension ANN learning matrix through principal component analysis (PCA). The results show that the PCA is able to construct an ANN model without the need of finding an optimal structure with the appropriate number of hidden-layer nodes, thus avoids overfitting by condensing forecasting information, reducing dimension and removing noise, and GC is greatly raised compared to the traditional ANN and stepwise regression techniques for model establishment.