The Elements of Statistical Learning: Data Mining, Inference, and Prediction, Second Edition (Springer Series in Statistics) by Trevor Hastie, Robert Tibshirani, and Jerome Friedman.
An Introduction to Statistical Learning with Applications in R (Springer Texts in Statistics) by Gareth James, Daniela Witten, Trevor Hastie, and Robert Tibshirani.
Statistical Learning from a Regression Perspective, Second Edition (Springer Texts in Statistics) by Richard A. Berk.
- The complete books can be downloaded (pdf) from the above links.
(Course book in an earlier course on Multivariate analysis:)
Johnson, R.A. and Wichern, D.W.: "Applied Multivariate Statistical Analysis".
Hastie, T.J. and Tibshirani, R.J.: "Generalized Additive Models"
ElemStatLearn R-package which inlcudes data sets, functions and examples from the course book.