So anyway, I have been googling to find out if there's a better Mathematical Stats book that could prepare me for these other studies. I had Shao recommended to me, but the exposition there seemed bad (one problem dealing with Borel fields was stated so badly that it took me from a state of understanding to a state of confusion for a day). I had always heard good things about Casella and Berger but after reading a couple chapters it seems no more informative than Tanis and Hogg. Right now I'm reading Jaynes' book Probability Theory and it's going well but there's a lot of Philosophy to get through. I like it, but it's taking me a while to get to the Math.

I'm looking for a book that a) gives a very comprehensive and somewhat advanced explanation of the Math that you encounter in Stats, and b) is explained well enough for self-study. Does anyone know of such a book?