Abstract
Abstract Some pedagogical and practical examples, both univariate and bivariate, are given in which Pitman's measure of closeness is more relevant than mean squared error. The examples also illustrate interesting characteristics of Pitman's measure of closeness and provide some practical insight into the Rao—Berkson controversy in estimation theory. These examples are given in the hope that some moderation might be practiced in the teaching of mean squared error in modern statistical education.
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