Pitman closeness of record values from two sequences to population quantiles

Suppose upper records from two independent sequences from iid continuous random variables from the same distribution are observed. Pitman's measure of closeness of these statistics to population quantiles of the parent distribution is studied and various exact expressions are derived. For symmetric distributions, Pitman closeness probabilities of records to median are also obtained. Examples including exponential and uniform distributions are discussed. Numerical evaluations are presented to illustrate all the results developed here.