Although the lectures and accompanying notes and resources linked to every week aim to be self contained, there are many excellent resources from which you can dive into more details about information geometry and its applications. Below, I collect a few of my favorites.
Textbooks: An excellent and comprehensive reference for the more mathematically minded among you is Amari and Nagaoka’s textbook, Methods of Information Geometry. You can probably find an e-book version at your university’s library (Leiden students certainly have access).
Review articles: Similarly mathematical in its treatment, is Frank Nielsen’s very nice review. For a more readable introduction with some historical context on the origins of the subject, see also Nielsen’s contribution on the Cramér-Rao bound and information geometry.
Online resources and articles: John Baez’s highly readable writings on information geometry are an excellent resource for any physicist or mathematician looking for a no-nonsense introduction to the subject. I also really enjoyed going through Ro Jefferson’s thoughtful explanations in this series of three posts.
Online lectures + seminars: Introduction to information geometry by Frank Nielsen.