1. History of Bayesian Statistics

These two lectures talk a little bit about Thomas Bayes and the history of Bayesian statistics.

If you’d like to learn more about where Bayesian statistics fits in with classical, I have a couple of links for you to check out. First, Bayesian Methods: General Background takes you from Herodotus to current problems (current in 1996, anyways) over 16 pages.

Second, check out this page on the philosophy of statistics from the Stanford Encyclopedia of Philosophy. Knowing this stuff is not at all required but I find it helpful to put the various ideas and how they relate in context. Especially useful are Sections 2 and 4, which discuss the differences between epistemic and physical interpretations of probability and Bayesian statistics.