The Krichevsky-Trofimov estimator is a statistical method used in the context of estimating the probability distribution of discrete random variables. Specifically, it is used for estimating the probability mass function (PMF) of a multinomial distribution based on observed data. This estimator is particularly noteworthy for being a nonparametric estimator that performs well in situations where traditional estimates (like the maximum likelihood estimator) might be biased, especially when the sample size is small or when some outcomes have not been observed.
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