Sensory processing in the brain includes three key operations: multisensory integration—the task of combining cues into a single estimate of a common underlying stimulus; coordinate transformations—the change of reference frame for a stimulus (e.g., retinotopic to body-centered) effected through knowledge about an intervening variable (e.g., gaze position); and the incorporation of prior information. Statistically optimal sensory processing requires that each of these operations maintains the correct posterior distribution over the stimulus. Elements of this optimality have been demonstrated in many behavioral contexts in humans and other animals, suggesting that the neural computations are indeed optimal. That the relationships between sensory modalities are complex and plastic further suggests that these computations are learned—but how? We provide a principled answer, by treating the acquisition of these mappings as a case of density estimation, a well-studied problem in machine learning and statistics, in which the distribution of observed data is modeled in terms of a set of fixed parameters and a set of latent variables. In our case, the observed data are unisensory-population activities, the fixed parameters are synaptic connections, and the latent variables are multisensory-population activities. In particular, we train a restricted Boltzmann machine with the biologically plausible contrastive-divergence rule to learn a range of neural computations not previously demonstrated under a single approach: optimal integration; encoding of priors; hierarchical integration of cues; learning when not to integrate; and coordinate transformation. The model makes testable predictions about the nature of multisensory representations.