“Bayesian decision theory” usually just means “normal decision theory,” so you could start with my FAQ. Though when decision theory is taught from a statistics book rather than an economic book, they use slightly different terminology, e.g. they set things up with a loss function rather than a utility function. For an intro to decision theory from the Bayesian statistics angle, Introduction to Statistical Decision Theory is pretty thorough, and more accessible than Berger.
Berger is highly technical, not much of an introduction.
On Bayesian statistics, Bayesian Data Analaysis is a classic.
“Bayesian decision theory” usually just means “normal decision theory,” so you could start with my FAQ. Though when decision theory is taught from a statistics book rather than an economic book, they use slightly different terminology, e.g. they set things up with a loss function rather than a utility function. For an intro to decision theory from the Bayesian statistics angle, Introduction to Statistical Decision Theory is pretty thorough, and more accessible than Berger.
Great, thank you very much for the references. I am now reading your FAQ before moving onto the texts, I’ll post any comments I have there.