I think that we can recommend to students a classical work Prof. Peterka on Bayesian System Idntification and to those who are willing to got through nasty explanations a report by me and Dr. I. Nagy as a complementary reading oriented more on decision making. Both these thing exist in electronic version

On

http://www.utia.cas.cz/AS_dept/ACTIVITY/allpubl.htm

These are extensive materials so that for a newcomer it makes sense to concentrate on examples related to coin tossing and to classical ARX model.