The author is right- square error isn't completely natural. However one great property is that it gets expected values right (so using it helps you develop unb

The author is right- square error isn't completely natural. However one great property is that it gets expected values right (so using it helps you develop unbiased estimators). I have some notes on this here: http://www.win-vector.com/blog/2014/01/use-standard-deviation-not-mad-about-mad/ http://www.win-vector.com/blog/2014/01/use-standard-deviatio...