A Bayesian Statistics Reading List
I am frequently asked to recommend books on Bayesian Statistics. Here are a few
suggestions, with notes. Note that this page was written in 2004. There are surely many
newer and excellent books, but I still think the ones listed here are worth studying.
In this category I include some recommendations that are preparatory reading.
A very fine book by Dennis Lindley deals with decision making, in very much a Bayesian
way using personal probability. And my 1988 book is an introduction to personal
probability, which I believe it is important to understand if you are interested in
learning about Bayesian Statistics.
Neither book assumes knowledge of mathematics above a very elementary level.
Lindley, D.V. (1980). Making Decisions, 2nd ed. Wiley, New York.
O'Hagan, A. (1988). Probability: Methods and Measurement. Chapman and Hall, London.
The best introductory text at a truly introductory level, with only the most elementary
mathematics required, is by Don Berry. It has a slant to medical applications.
The best text that is also introductory but assumes college level mathematics is by
Berry, D.A. (1996). Statistics: A Bayesian Perspective. Duxbury, London.
Lee, P.M. (2004). Bayesian Statistics: An Introduction, 3rd edition, Arnold, London.
More advanced texts
At an intermediate level, there is quite a nice, readable but concise book by Helio Migon
and Dani Gamerman.
The next two books concentrate on how to develop models and computations for the
practical application of Bayesian methods. The coverage of the two books overlaps somewhat.
Migon, H.S. and Gamerman, D. (1999). Statistical Inference: An Integrated Approach.
The last two books, by Jose Bernardo and Adrian Smith, and by Jon Forster and myself, are for people
wishing to learn Bayesian Statistics in depth. Both assume good mathematical knowledge
and some previous introduction to statistical theory.
Congdon, P. (2001). Bayesian Statistical Modelling. John Wiley.
Congdon, P. (2003). Applied Bayesian Models. John Wiley.
Bernardo, J.M. and Smith, A.F.M. (1994). Bayesian Theory. Wiley, New York.
O'Hagan, A. and Forster, J. J. (2004). Bayesian Inference, 2nd edition,
volume 2B of "Kendall's Advanced Theory of Statistics". Arnold, London.
Updated: 11 January 2017
Maintained by: Tony O'Hagan