 | Mathematical Statistics and Data Analysis by John A. Rice
Buy used from: $37.72 Probably my most useful general reference. Good coverage of probability and data analysis.
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 | An Introduction to the Bootstrap (Monographs on Statistics and Applied Probability) by Bradley Efron
Buy new: $93.14 / Used from: $64.99 The only bootstrap book -- minimal theory, good explanations, a little dated though
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 | Statistical Inference by George Casella
Buy new: $133.07 / Used from: $45.95 Graduate level theory of statistics -- covers inference, fundamental finite sample theory
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 | Elements of Large-Sample Theory (Springer Texts in Statistics) by E.L. Lehmann
Buy new: $78.22 / Used from: $64.00 Readable, avoids measure theory and almost sure convergence.
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 | Elements of Information Theory by Thomas M. Cover
Buy used from: $11.95 Probably not essential, but it's just too good of a book to pass up
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 | Applied Regression Including Computing and Graphics (Wiley Series in Probability and Statistics) by R. Dennis Cook
Buy new: $132.70 / Used from: $65.48 Good overall book on regression; covers practically every important issue; it does focus on the ARC software package, though
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 | Numerical Analysis for Statisticians by Kenneth Lange
Buy new: $94.89 / Used from: $70.00 Very readable and current; some of the algorithm descriptions are a bit brief
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 | Modern Applied Statistics with S by W.N. Venables
Buy new: $54.32 / Used from: $49.90 I use S-Plus and R so this book is a no-brainer; lots of interesting examples; easy to read. The new edition has more R material.
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 | The Elements of Statistical Learning by T. Hastie
Buy used from: $29.87 One of the few readable and good intros to machine learning from a statistician's point of view
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