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Asymptotic Statistics A. W. van der Vaart
Publisher: Cambridge University Press

Isn't it ironic that almost all known results in asymptotic statistics don't scale well with data? There are several things people could mean when they say that complex models don't scale well. Even if you're doing frequentist statistics, you have to make some assumptions about the world and about your data. The one reference I'd recommend is A.W.van der Vaart "Asymptotic Statistics", ch. Then a statistic could just be expressed as T_{n}=f (X_{1}, X_{2},…,X_{n} ). Publisher: Cambridge University Press | ISBN: 0521784506 | edition 2000 | PDF | 462 pages | 21,6 mb Here is a practical and mathematically rigorous introduction to the field of asymptotic statistics. Yanming Di, Assistant Professor, Department of Statistics, Oregon State. Higher Order Asymptotics for Negative Binomial Regression Inferences. So if we want to discuss the asymptotic properties of the statistic, a good way is to express the statistic in the taylor expansion first. A more advanced monograph is "Weak Convergence and Empirical Processes" by Wellner and van der Vaart. Asymptotic Statistics (Cambridge Series in Statistical and Probabilistic Mathematics) by A.