Diaconis is a great teacher and writer. His introductory paper on Markov Chain Monte Carlo [0] is a fantastic appetiser to Bayesian methods.

Moreover, a good proportion of his papers are freely available from his website [1].

[0] https://www.ams.org/journals/bull/2009-46-02/S0273-0979-08-0...

[1] https://statweb.stanford.edu/~cgates/PERSI/year.html