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Statistica Sinica 3(1993), 601-608


A NOTE ON JEFFREYS-LINDLEY PARADOX


Christian P. Robert


Université de Rouen and Purdue University


Abstract: The Jeffreys-Lindley paradox, namely the fact that a point null hypothesis will always be accepted when the variance of a conjugate prior goes to infinity, has often been argued to imply prohibiting the use of improper priors in hypothesis testing. We reevaluate this paradox by considering the role of the prior hypothesis probabilities and obtain a noninformative answer which is equivalent decisionwise to the classical p-value.



Key words and phrases: Hypothesis testing, vague prior, noninformative answer, p-value.



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