Theoretical Statistics

In the late 1970s when I was a graduate student at Stanford this was one of the best texts available on the theory of statistics at the first year graduate school level. It comes with a wealth of problems, many of which are very thought-provoking. There is a companion solutions manual that I recommend for students doing self-study. Cox and Hinkley are both excellent lecturers writers and brilliant statisticians. This is still a very useful book although most of Bayesian inference including MCMC methodology and all of resampling theory is missing since the book was published in 1974.

I couldn't put it down! One of the most thrilling books available in maximum likelihood theory and methodology. While some examples are a little obtuse, on the whole Cox and Hinckley present the topic of the likelihood in a logical, coherent manner.