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Introduction to Statistical Learning is free and quite good: http://www-bcf.usc.edu/~gareth/ISL/

Follow it up with Elements of Statistical Learning by three of the same authors for more advanced stuff.




I can thoroughly recommend Elements of Statistical Learning.

It won't teach you much about theoretical statistics, or even things like experiment design, but you will learn a LOT about regression, classification and model fitting which is what everyone seems to want to be able to do these days.




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