1. Bahadur, R. R., “Examples of Inconsistency of Maximum Likelihood Estimators,” Sankhya, vo. 20, 1958, pp. 207–210.
2. Blackwell, D., “Conditional Expectation and Unbiased Sequential Estimation,” Annals of Mathematical Statistics, vol. 18,1947, pp. 105–110. Gives a general method for obtaining an unbiased sequential estimator for a parameter admitting a sufficient statistic.
3. Chung, K. L A Course In Probability Theory, New York, Harcourt, Brace and World, 1968.
4. Cramér, H., Mathematical Methods of Statistics, Princeton, N.J., Princeton University Press, 1946. A good discussion of the probability measure in Chapters 13, 14, 15. Also, in Chapters 32 and 33 gives the Cramér-Rao inequality and properties of the maximum likelihood estiitiator.
5. Cramér, H., Random Variables and Probability Distributions, 2nd ed., Cambridge, Cambridge University Press: 1962.