Reference request for Statistical Learning Theory I want to learn about Statistical Learning Theory. I have a strong background in measure theory, probability theory and functional analysis. What would be a good resource/book to start learning Statistical Learning Theory in the most general setting?
Thanks a lot in advance.
 A: I think the following books can be very useful:

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*Shai Shalev-Shwartz and Shai Ben-David. Understanding Machine Learning: From Theory to Algorithms.

*Mehryar Mohri, Afshin Rostamizadeh and Amit Talwar. Foundations of Machine Learning

*Michael Kearns and Umesh Vazirani. An Introduction to Computational Learning Theory. MIT Press, 1994.

Also, you can find the following courses helpful:

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*Understanding Machine Learning - Shai Ben-David

*Computational Learning Theory by Varun Kanade
A: I would recommend "Elements of Statistical Learning" by Hastie, Trevor, Tibshirani, Robert, Friedman, Jerome.  It covers a fair amount of material at a reasonable pace.  Also, it is quite rigorous when necessary and on top of that, it provides beautiful images to clarify the concepts.   
A: Just off the top of my head (I'll add other sources later on) 


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*Statistical Learning with Sparsity

*Martin Wainwright's statistical learning theory course

*Sham Kakade's statistical learning theory course

*Peter Bartlett's statistical learning theory course

*Percy Liang's statistical learning theory lecture notes
and references therein.
