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Here, I am trying to collect as many "I wish I had read that textbook first" textbook names as possible, for as many different topics in mathematics as possible.

The "I wish I had read that textbook first" criterion is when you've already mastered some topic and in retrospect, you can see that "Textook X written by Y" is the best starting point in learning that topic, and most of your peers agree.

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I surely wish I has read Katsumi Nomizu' Fundamentals of Linear Algebra before any other textbook written about that subject.

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For Gaussian processes, without a doubt the first text should be Gaussian Processes for Machine Learning by Rasmussen and Williams.

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