If you happen to come from the physical sciencies (physics/astronomy) I would recommend you Bayesian Logical Data Analysis for the Physical Sciences: A Comparative Approach with Mathematica® Support by Gregory (2006).

Although the "with Mathematica® Support" part of the title is there only for commercial issues (the usages of Mathematica code are very poor), the good think about this book is that it is truly an introduction to the subject of probabilities and statistics. It even has some chapters on frequentist statistics. However, once you give it a shot, go for the book of Gelman et. al that a lot of people recommended you. Most of the material in the book of Gregory is taken lightly (if not, it wouldn't be an introduction): Gelman's book has been a truly re-awakening from Gregory's for me.

If you happen to come from the physical sciencies (physics/astronomy) I would recommend you Bayesian Logical Data Analysis for the Physical Sciences: A Comparative Approach with Mathematica® Support by Gregory (2006).

Although the "with Mathematica® Support" part of the title is there only for commercial issues (the usages of Mathematica code are very poor), the good thing about this book is that it is truly an introduction to the subject of probabilities and statistics. It even has some chapters on frequentist statistics. However, once you give it a shot, go for the book of Gelman et. al that a lot of people recommended you. Most of the material in the book of Gregory is taken lightly (if not, it wouldn't be an introduction): Gelman's book has been a truly re-awakening from Gregory's for me.