Solution

ID: past-exam-of-the-mathematics-course-of-the-university-of-cambridge/2009/iii/paper-36/2/e/solution

Keep fixed. Integral bounds for the decreasing function give , so . Consequently
The posterior mean thus grows like instead of approaching a data-determined limit. Even the posterior distribution mass below a fixed endpoint is . Hence increasing the supposedly innocuous prior cutoff moves the inference to larger and larger endpoints. In an integral approximation its median is of order , also depending strongly on the cutoff. This explains the sensitivity of the entire inference, not just of its posterior mean.

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