It should probably be permanently linked to on this site, for without it, this site would not exist. I am referring, of course, to
“An Essay towards solving a Problem in the Doctrine of Chances. By the late Rev. Mr. Bayes, communicated by Mr. Price, in a letter to John Canton, M. A. and F. R. S.”
a.k.a. the paper where Bayes put forth the eponymous theorem. It is available in PDF format here.
Whether Bayes was actually the first to come up with Bayes’ Theorem, or indeed Bayesian inference (Laplace has a claim to that too), for some reason (probably something to do with Stigler), Bayesian statistics is, fore sure, named after Bayes, and this paper is therefore, to all intents and purposes, the Start Of It All. It is a fascinating read, and provoked in me an awe for those who see something original and useful which everyone before them had missed.
It is very educational to read the key texts that form our most fundamental beliefs, allowing us to make sure we are not re-treading old ground, and providing inspiration for where to take our thoughts further. This paper gives an opportunity to do just that.