As a rather short (9 pages) introduction to Bayesian inference, I remember greatly appreciating an extract from the book "Information Theory, Inference, and Lea

As a rather short (9 pages) introduction to Bayesian inference, I remember greatly appreciating an extract from the book "Information Theory, Inference, and Learning Algorithms" by David MacKay. The relevant part is on PDF pages 469 to 477 here: <http://www.inference.phy.cam.ac.uk/itprnn/book.pdf&#62 http://www.inference.phy.cam.ac.uk/itprnn/book.pdf> It explains how Bayesian inference works (which is intuitive and not strange at all) and gives examples of absurdities that comes upon you when you don't do it this way. Highlights: • "Let me through, I’m a Bayesian" (When analysing the effectivness of a vaccine) • "I have no problem with the idea that there is only one answer to a well-posed problem" (In response to sampling theorists wide selection of ad hoc procedures)