I would add to that two classics with free PDFs available from the authors' websites: 1. David Barber: Bayesian Reasoning and Machine Learning 2. David MacKay

I would add to that two classics with free PDFs available from the authors' websites: 1. David Barber: Bayesian Reasoning and Machine Learning 2. David MacKay: Information Theory, Inference, and Learning Algorithms [1] http://www.cs.ucl.ac.uk/staff/d.barber/brml/ http://www.cs.ucl.ac.uk/staff/d.barber/brml/ [2] http://www.inference.phy.cam.ac.uk/mackay/itila/ http://www.inference.phy.cam.ac.uk/mackay/itila/ Both require a willingness to immerse in the mathematics. But the maths isn't hard, even for someone like me who hasn't formally studied it since I was 15.