Essentially, one should start with the basics. |
Hopefully you have a mathematical background.
Even if you don't it isn't really a big deal: you won't understand all the concepts at a deep level but you can at least gain a practical understanding of them.
Try to find an introductory course online.
Next, move to more challenging topics. You can check the basic concepts you have learned and read more in depth descriptions.
Some Wikipedia articles are very good and contain plenty of useful links to external material.
You can also read some practical books and implement some of the suggested algorithms.
For example, The Elements of Statistical Learning is a good book.
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