A novel, unsupervised nonparametric model of multivariate probability density functions (pdf) is introduced, namely the Parzen neural network (PNN). The PNN is intended to overcome the major limitations of traditional (either statistical or neural) pdf estimation techniques. Besides being profitably simple, the PNN turns out to have nice properties in terms of unbiased modeling capability, asymptotic convergence, and efficiency at test time. Several matters pertaining the practical application of the PNN are faced in the paper, too. Experiments are reported, involving (i) synthetic datasets, and (ii) a challenging sex determination task from 1400 scout-view CT-scan images of human crania. Incidentally, the empirical evidence entails also some conclusions of high anthropological relevance.