Take the tour ×  Anyone can suggest me one or more good books on
Statistical Inference (estimators, UMVU estimators, hypotesis
testing, UMP test, interval estimators, ANOVA one-way and two-
way...) based on rigorous probability/measure theory?  I've
checked some classical books on this topic but apparently all
start from scratch with an elementary probability theory.
share|improve this question add comment  4 Answers  Many people
still swear by the pair of classics by Lehman et al Theory of
Point Estimation and Testing Statistical Hypotheses. If you want
something a bit more modern, I like Theory of Statistics by
Schervish. It covers both the classical and Bayesian theory, but
does not slight either of them. There is also Mathematical
Statistics by Shao, that is structured much more like the non
measure theoretic textbooks, starting with a whirlwind review of
probability theory, and seems to be used as a textbook fairly
often judging from the semi-incoherent negative reviews on
Amazon.  Probably better than