Does anyone know of a good book on Bayesian statistics, covering a broad range of useful statistical tools?I know there is a lot of material on the web, but it tends to be of a polemic nature, presumes a certain knowledge of the orthodox statistical approaches and is rarely coherent across topics. I already know a little orthodox statistics, but not beyond physics degree level; I have read enough on both sides to be convinced that Bayesian stats is the approach for me and want to know more about real tools but without being able to immediately access single topic texts. I also do not wish to read 2 orthodox statistics books just to be able to unlearn the material by reading a Bayesian 'conversion'/evangelist text.I have Lee on 'Bayesian Statistics' but I don't think it covers enough, or is great.

Try this site

Try this book: "http://www.amazon.com/exec/obidos/ASIN/ ... 20-8292605", I just bought it, it is THE classic book on Bayesian decision theory.

Martingale << Thanks a lot, very useful.Scholar << It is a good site, thanks. I had already got the pdfs of Jaynes' book which is good reading (but with holes in some useful areas), but there is more interesting stuff there too.

I have thumbed through a few books on Bayesian statistics, and found them too theoretical/mathematical, much like I would expect the books below to be.Does anyone recommend any material that in simple terms and examples shows have Bayesian analysis can be and has been applied to finance problems, either in a book, paper, or online link? After Aaron's explanation of the Necktie paradox, I am finding this approach quite intruiging given that I usually have taken the more "classical" view.

http://www.amazon.com/exec/obidos/tg/de ... 8488388X/a more practice-inclined book, not financial though.

Bayesian Data Analyis is also available through the Wilmott Bookshop.