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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.

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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.

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  • $\begingroup$ I had a look at this book, but for my taste it had too little measure theory and functional analysis. I am rather looming for a really theoretical book rather than one giving and intuitive introduction. But I appreciate the siggestion, thanks:) $\endgroup$ – vaoy Jun 13 '18 at 19:40
  • $\begingroup$ Ok, then I would recommend "All of Statistics" which is a bit more mathematical. $\endgroup$ – JohnKnoxV Jun 14 '18 at 0:35
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Just off the top of my head (I'll add other sources later on)

and references therein.

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