Using a set of confidence intervals, we develop a
common approach, to construct a fuzzy set as an estimator for
unknown parameters in statistical models. We investigate a method
to derive the explicit and unique membership function of such fuzzy
estimators. The proposed method has been used to derive the fuzzy
estimators of the parameters of a Normal distribution and some
functions of parameters of two Normal distributions, as well as the
parameters of the Exponential and Poisson distributions.