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The best introductory book and also the most cohesive one is "Learning from Data" from Yaser Abu-Mostafa, accompanied by great video lectures:


It differs from other books in that all the material is treated from the unified perspective of statistical learning theory and VC dimension, as a result the book feels less like a hodgepodge of unrelated techniques and more like an introduction to a coherent field.

Hastie and Tibshirani also have a new, less demanding mathematically book out:


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