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A review of Pitman's personal research shows he derived the Pitman (1939) estimators (PE) of location and scale based on squared error loss. Later, we shall see that his adherence to quadratic risk probably prevented him from recognizing the connection of his closeness criterion with Pitman estimators. 2. The relationship 34 PITMAN'S MEASURE OF CLOSENESS between Pitman-closest estimators and Pitman estimators was no doubt stimulated by the work of Nayak (1990), who explained the role of location and scale invariance in the construction of Pitman-closest estimators.

These hallmark results based on the criterion of mean squared error clearly dominated the statistical literature at the time and for decades to follow. A review of Pitman's personal research shows he derived the Pitman (1939) estimators (PE) of location and scale based on squared error loss. Later, we shall see that his adherence to quadratic risk probably prevented him from recognizing the connection of his closeness criterion with Pitman estimators. 2. The relationship 34 PITMAN'S MEASURE OF CLOSENESS between Pitman-closest estimators and Pitman estimators was no doubt stimulated by the work of Nayak (1990), who explained the role of location and scale invariance in the construction of Pitman-closest estimators.

Shortly after the appearance of Pitman's work, Germany precipitated World War II with its invasion of Poland in 1939. Obviously many statistical pursuits were diverted to support the war effort. More importantly, between 1940 and 1950 many theoretical advances in decision theory were made, including the Frechet-Cramer-Rao inequality, the RaoBlackwell Theorem, and the Lehmann-Scheffe Theorem. These hallmark results based on the criterion of mean squared error clearly dominated the statistical literature at the time and for decades to follow.

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