We discuss the concept of subjective probability and how it relates to statistical inference via Bayes rule. We show how Bayesian inference works in some standard situations, such as two-sample inference, hierarchical models, regression analysis and model selection. We discuss Bayesian and non-Bayesian motivations for using Bayesian procedures. Finally, we discuss some limitations of Bayesian procedures.
Slides available at http://www.stat.washington.edu/hoff/public/bayesprimer.pdf
