On: Why squared error?

[graycat]

Again, just now I just don't have time for a more full, complete, and polished explanation.

A really good explanation would require much of a good ugrad and Master's in math, with concentration on analysis and a wide range of applications. I've been there, done that but just don't have time to write out even a good summary of all that material here.

[selimthegrim → graycat]

putting a shout in for Bollobas here, surely all roads to functional analysis don't lead through Rudin?

[graycat → selimthegrim]

Right. Also, say, Kolmogorov and Fomin. And Dunford and Schwartz.

No doubt the full literature is enormous -- I don't know all of it!

But Rudin is a good author, and as a writer got better, less severe in style and, thus, easier to read, over time in his career.