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Here are a couple of recommendations:

William Lay: I'm also a self-learner and recommend two books that were perfect for me:

• "Machine Learning", T. Mitchell, McGraw-Hill
• "Data Mining", I. Witten and E. Frank

• Data Mining Techniques by Berry and Linoff
• if you have a good statistical background: The Elements of Statistical Learning by Hastie, Tibshirani, and Friedman.