On the Jeffreys-Lindley Paradox

Abstract

This article discusses the dual interpretation of the Jeffreys-Lindley paradox associated with Bayesian posterior probabilities and Bayes factors, both as a differentiation between frequentist and Bayesian statistics and as a pointer to the difficulty of using improper priors while testing. I stress the considerable impact of this paradox on the foundations of both classical and Bayesian statistics. While assessing existing resolutions of the paradox, I focus on a critical viewpoint of the paradox discussed by Spanos in Philosophy of Science.