Sung Jae Jun

Among the books on statistics that I know of, this is probably the most comprehensive and rigorous one that takes the most modern approach. The author provides an excellent introduction to the theory of empirical processes, which is then applied to statistical models that do not have a certain continuity property. I spent one summer in my graduate school days studying this book. It was that summer when I really learned the beauty of mathematical statistics and understood many pitfalls of the usual large sample approximations. It is an absolutely beautiful masterpiece.