"Three Bodies" is one of the most important concepts of Vedanta psychology.
This concept, as well as other concepts of Vedanta, including "Five Sheath", are extremely powerful models of the world to understand how our mind and body works. (These models of the world may not be necessarily true, just like in the case of NLP presuppositions.)
The "three bodies" are best described in Mandukya Upanishad, especially in the commentary by Shankaracharya on the commentary which Gaudapada, the grand master of Shankaracharya, made on this Upanishad. Shankaracharya expounds in his commentary the concept of the "three bodies", by dealing with three philosophical problems; the nature of consciousness, the nature of subjective and objective experience, and the nature of causality. The three bodies are the waking body, the dreaming body and the sleeping body, and Shankaracharya argues that, beyond these three bodies, there exists Turiya, or the "forth state of consciousness" which integrates and transcends them.
According to Vedanta Psychology, the existence of this forth state of consciousness can be ascertained by the fact that, even after we have slept a dreamless sleep where we were completely merged with undifferentiated, universal consciousness (or blissfulness), we can still say "we have slept well without any dream". To Vedanta psychologists, such a statement is not possible, unless there has been somebody (or something) who is a witness beyond the three states of waking, dreaming, and deep dreamless sleep.
"Turiya" is closely related to Atman, and the concept of "Three Bodies" is in turn closely related to the Vedanta concept of "Five Sheaths".
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