Biased vs Unbiased: Debunking Statistical Myths

As a data scientist and ex-statistician, I violate these rules (especially #1 - #3) almost daily. Indeed, that's part of what makes data science different from statistical science. Some theoretical research should be performed about the maximum yield obtainable with non-kosher estimates. This article compares model-free confidence intervals with classic ones. The difference is very small even when the number of observations is as low as 50.