Robust Bayesian analysis deals simultaneously with a class of possible prior distributions, instead of a single distribution.
This paper concentrates on the surprising results that can be obtained when applying the theory to problems of testing precise
hypotheses when the “objective” class of prior distributions is assumed. First, an example is given demonstrating the serious
inadequacy of P-values for this problem. Next, it is shown how the approach can provide statistical quantification of Occam's
Razor, the famous principle of science that advocates choice of the simpler of two hypothetical explanations of data. Finally,
the theory is applied to multinomial testing.
Keywords Bayes factor - P-value - Occam's Razor - Monte-Carlo integration - Mercury's perihilion
Research supported by the National Science Foundation, Grant DMS-8923071, and by NASA Contract NAS5-29285 for the hubble Space
Telescope.