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I am currently reading "Bayesian Data Analysis" by Gelman et al. and my main goal was to learn about Hierarchical modelling on chapter 5. I read until chapter 4 and the book is written terribly for a taste of a math student as it is pretty sketchy and engineering oriented.

I decided to not to continue anymore with this book and I would be very grateful if somebody could introduce a reference with a more rigorous approach to the topic.

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    $\begingroup$ Maybe I should move the question to math exchange, any suggestions? $\endgroup$
    – Cupitor
    Oct 6, 2013 at 15:42
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    $\begingroup$ I totally agree with your opinion about Gelman et al's book. Try The Bayesian choice, by C. Robert. $\endgroup$ Oct 6, 2013 at 20:01
  • $\begingroup$ @StéphaneLaurent pretty happy that got the same opinion from somebody else. Will give it a try. Thanks. $\endgroup$
    – Cupitor
    Oct 6, 2013 at 20:36
  • $\begingroup$ For what it's worth, there's a new edition of Bayesian Data Analysis coming out soon. I don't know if it would be better for your taste, but it looks like it will have a lot of other improvements. $\endgroup$ Oct 7, 2013 at 4:24
  • $\begingroup$ @DavidJ.Harris This book will always be nubearable for me. Too much text, not enough mathematics. There's more information in one half page of The Bayesian Choice than in 5 pages of Gelman et al's book. This book provides some cooking recipes for Bayesian analysis: some recommendations without any theoretical justification. I've also started to read Gelman & Hill's book. Nice to learn R & WinBUGS, but the practical approach is grisly, for example the authors fit Gaussian models to data far, far , far to be Gaussian, without worrying about that. $\endgroup$ Oct 7, 2013 at 6:18

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Here is a really good 15-page article by Kemp at al. on Hierarchical Bayesian Modelling. It is more conceptual than mathematical though so I don't know whether it is good for your taste. Having said that, it definitely is less of a commitment than reading an entire book.

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  • $\begingroup$ Hehe, thank you but this is actually the article I was reading that brought me into the field and I started looking for a more mathematically detailed source for it... $\endgroup$
    – Cupitor
    Nov 7, 2013 at 17:51

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