You could look at the appendixes in texts by Bishop, MacKay, Barber and Rasmussen/Williams to see what they expect (and they expect a pretty thorough understanding. The last 3 are freely available content

http://www.inference.phy.cam.ac.uk/itila/book.html

http://web4.cs.ucl.ac.uk/staff/D.Barber/textbook/090310.pdf

http://www.gaussianprocess.org/gpml/chapters/RW.pdf

Also, an excellent list of ML resources: http://www.reddit.com/r/MachineLearning/comments/1jeawf/mach...