I am looking for blogs that focus on the mathematical theory of Statistics and Machine Learning, ideally at a research or "advanced" level.
The blog doesn't have to be solely about these topics but ideally most of the posts would be exposing the mathematical theory of an idea/concept/algorithm that is either directly or closely related to them. Here is an example of what I'm looking for, and I will add another one as an answer (Disclaimer : I have no affiliation with any of the authors of the blogs I link):
- Gregory Gundersen's blog neatly presents the theory of many well-known (and some lesser-known) algorithms and results in Statistics, such as Conjugate Gradient Descent, Ordinary Least Squares, Hidden Markov Models... Some of the posts contain illustration with available source code
Please limit your answer to less than 2-3 links and provide a short description for each blog, as above.