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There is already a community wiki on introductory textbooks for Bayesian statistics.

However, I am looking for a book(s) on Computational Bayesian Statistics for intermediate learner who already has a good knowledge of Monte Carlo method and its applications (e.g. sampling method, MCMC, etc.). It should be up-to-date as the field is changing quickly.

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There are plenty out there but here are some of my preferred ones:

  • Robert C.P. (@Xi'an) and Casella G. Monte Carlo Statistical Methods, 2nd edition, Springer, 2010.
  • Liu J.S. Monte Carlo Strategies in Scientific Computing, Springer, 2004.

Another one that fills the bill, which stands up in my to-be-read book pile, is:

  • Chopin N. and Papaspiliopoulos O. An Introduction to Sequential Monte Carlo, Springer, 2020.
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