Yury Polyanskiy and Yihong Wu, "Information Theory: From Coding to Learning", Cambridge University Press, forthcoming.
Yihong Wu, "Information-theoretic Methods for High-dimensional Statistics" UIUC (ECE 598), Yale (S&DS677), updated Jan 2020. Note: this is subsumed by the above textbook (see Chapter 7, 27, and Part VI) and no longer actively maintained.
Yihong Wu and Jiaming Xu, "Statistical inference on graphs: Selected Topics" Yale (S&DS 684), Duke (BA 991), updated May 2022.