Must Reads

Information theory and compressed sensing

• Shannon, C.E. A mathematical theory of communication. Bell system technical journal, 27(3), pp.379-423, 1948.

• Baraniuk, R.G. Compressive sensing. IEEE signal processing magazine, 24(4), 2007.

• Cover, T.M. and Thomas, J.A. Rate Distortion Theory (chapter 13 from Elements of Information Theory), 1991.

Statistical learning

• An Overview of Statistical Learning

Books:

• The Elements of Statistical Learning

• An Introduction to Statistical Learning

• Bishop's Pattern Recognition and Machine Learning

• Sparse Modeling