A user's guide to measure theoretic probability

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…rning should be (completely) familiar with essentially all of the material in the following intermediate-level statistics book: 1.) Casella, G. and Berger, R.L. (2001). "Statistical Inference" Duxbury Press. For a slightly more advanced book that's quite clear on mathematical techniques, the following book is quite good: 2.) Ferguson, T. (1996). "A Course in Large Sample Theory" Chapman & Hall/CRC. You'll need to learn something about asymptotics at some point, and a good starting place is: 3.) Lehmann, E. (2004). "Elements of Large-Sample Theory" Springer. Those are all frequentist books. You should also read something Bayesian: 4.) Gelman, A. et al. (2003). "Bayesian Data Analysis" Chapman & Hall/CRC. and you should start to read about Bayesian computation: 5.) Robert, C. and Casella, G. (2005). "Monte Carlo Statistical Methods" Springe…