Start here: https://www.inference.org.uk/itprnn/book.pdf https://www.inference.org.uk/itprnn/book.pdf It's a little dated now but it connects Bayesian statist

Start here: https://www.inference.org.uk/itprnn/book.pdf https://www.inference.org.uk/itprnn/book.pdf It's a little dated now but it connects Bayesian statistics with neural nets and information theory in an elegant way.