Psychology of Intelligence Analysis, by Richards Heuer

Summary: Intelligence analysts cope with the need to aggregate heterogeneous data of wildly varying quality into coherent decision-making frameworks. This book catalogues historical failures made in this sort of analytical context and suggests how to overcome common traps.

Lessons: This is a great guide from a sharp practitioner. Analysts wanting to draw conclusions from data should generate a wide range of hypotheses and use falsification to narrow down to a smaller range of options. Such an approach avoids the trap of establishing a single theory early in the analytical process and only paying attention to evidence that confirms it.

Note: I spoke with the author a few months ago, and he said a dramatically revised edition was in the works. I'm drawing heavily on this book for two chapters of my forthcoming book, Head First Data Analysis (O'Reilly Media).

Here's a free PDF of the whole thing: https://www.cia.gov/library/center-for-the-study-of-intelligence/csi-publications/books-and-monographs/psychology-of-intelligence-analysis/index.html