Estimating normal density and normal distribution function: is Kolmogorov's estimator admissible?

Volume 22 / 1993

Andrew Rukhin Applicationes Mathematicae 22 (1993), 103-115 DOI: 10.4064/am-22-1-103-115


The statistical estimation problem of the normal distribution function and of the density at a point is considered. The traditional unbiased estimators are shown to have Bayes nature and admissibility of related generalized Bayes procedures is proved. Also inadmissibility of the unbiased density estimator is demonstrated.


  • Andrew Rukhin

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