At NYU, "a few" is actually 8 of 12 required classes. This granted me enough flexibility to take the math classes (scientific computing, linear algebra, optimization, stochastic calculus) and ML classes (learning theory, graphical models, survey class with emphasis on deep learning, independent study) I felt would best prepare me for this type of work.
The core classes -- languages, algorithms, OS, a capstone -- are also relevant if you plan to code.
Also note that "statistical theory" comes at a price: 2 years of statistical theory means 0 years of formal CS or engineering training.
