The best way to learn is to try to apply techniques on problems that are interesting to you. Random Forest is a very powerful technique these days that's usual

The best way to learn is to try to apply techniques on problems that are interesting to you. Random Forest is a very powerful technique these days that's usually pretty good as a first-pass. Using it with permutation importance usually helps you identify important variables. I cover several other machine learning "getting started" recommendations at http://stackoverflow.com/a/598772/1869 http://stackoverflow.com/a/598772/1869