Two people have been shot dead outside New South Wales state police headquarters in Parramatta, western Sydney, Australian police say.

A police statement said it happened after a number of shots were fired at about 16:30 local time.

The statement said it appeared an officer had discharged his weapon, responding to a report that one person had been shot.

The identities of those killed have not yet been established.

A critical incident team will now investigate all circumstances surrounding the incident, police say.

Vijay Dantu, who lives opposite the police building, told the Australian Broadcasting Corporation he heard multiple gunshots.

A critical incident team will now investigate all circumstances surrounding the incident, police say.