Read lots of books. Reading just one book you'll walk away with gaps in your understanding you don't even know are there. A mentor can point them out for you an

Read lots of books. Reading just one book you'll walk away with gaps in your understanding you don't even know are there. A mentor can point them out for you and give you directions on how to close them, but absent that you have to approach everything from as many angles as you can and hope that you will fill in the gaps by sheer luck. (That's a coupon collector's problem for you!) I recently re-read and took extensive notes on de Finetti's Theory of Probability which I always recommend. But don't stick to just that.