MacKay, "Information Theory, Inference, and Learning Algorithms" and taking the Bayesian Inference and Machine Learning path http://www.inference.phy.cam.ac.uk

MacKay, "Information Theory, Inference, and Learning Algorithms" and taking the Bayesian Inference and Machine Learning path http://www.inference.phy.cam.ac.uk/itila/book.html http://www.inference.phy.cam.ac.uk/itila/book.html (freely accessible online)