I've finished studying a full textbook on linear algebra and another on statistics. I've done most of the practice problems and I understand everything covered in these books very well. But I need to know more. Specifically, I'd like to understand more about:

- Gauss Markov Theory
- Unbiased Estimators
- Bayesian Stats
- Covariance Matrices

I can find concise articles that cover all of these things, but I find those very hard to learn from. I like learning from college textbooks because they tend to have very elaborate explanations, great diagrams, are extremely well edited, and have full sets of practice problems.

I can find great textbooks on the simpler stuff (basic stats + matrix theory) and hard to learn from articles on the more advanced stuff, but can I get a nice, polished textbook, with full explanations and practice problems in the subject area that I mentioned? What subject would I look for?

You could try to study from books written for physicists or engineers. They often use more transparant notations and focus on applications which can help. Also, it may be the case that you like less abstract subjects more than pure math. In that case you should consider switching to (theoretical) physics.

So, it could be that the book by N.G. van Kampen: Stochastic processes in physics and chemistry. New York: North-Holland, 1981., is easier to read for you.

Thanks for the great suggestion Count. I ordered the third edition of that book from Amazon. The TOC looks great. Thanks!

To delve deeper into the topics you mentioned, it sounds like you need a textbook that focuses on advanced statistics or econometrics. These subjects typically cover Gauss Markov Theory, unbiased estimators, Bayesian statistics, and covariance matrices in detail.

The specific subject area you should look for is "Advanced Statistical Theory" or "Advanced Econometrics." These textbooks are designed to provide in-depth explanations, contain diagrams and illustrations, and have comprehensive practice problems to help reinforce your understanding.

When searching for these textbooks, consider using keywords such as "advanced statistics textbook," "advanced econometrics textbook," or include the specific topics you are interested in. Additionally, you can also check for textbooks recommended by universities or educational institutions for their advanced statistics or econometrics courses.

Some popular textbooks in this subject area include:

1. "Advanced Econometrics" by Takeshi Amemiya: This book covers advanced econometric methods and theory, including topics like linear regression, instrumental variables, and maximum likelihood estimation.

2. "The Theory of Linear Economic Models" by David Gale: This textbook explores linear regression models and their theoretical foundations, including unbiased estimators, covariance matrices, and Gauss-Markov assumptions.

3. "Bayesian Data Analysis" by Andrew Gelman: This book provides an introduction to Bayesian statistics, covering concepts such as Bayesian inference, prior and posterior distributions, and Bayesian modeling.

Remember, textbooks can vary in terms of style and approach, so it may be beneficial to preview the table of contents or sample chapters before making a purchase to ensure that it aligns with your learning preferences and covers the specific topics you are interested in.