wandafromx {EbayesThresh} | R Documentation |
Given a vector of data, find the marginal maximum likelihood choice of both weight and scale factor under the Laplace prior.
wandafromx(x)
x |
a vector of data |
The parameters are found by marginal maximum likelihood.
The search is over weights corresponding to thresholds in the range [0, sqrt(2 log n)],
where n is the length of the data vector.
The search uses a nonlinear optimization routine (optim
in R)
to minimize the negative log likelihood function negloglik.laplace
.
The range over which the scale factor is searched is (0.04, 3).
For reasons of numerical stability within the optimization, the prior is parametrized
internally by the
threshold and the scale parameter.
A list with values
w |
The estimated weight |
a |
The estimated scale factor |
Bernard Silverman
See ebayesthresh
and http://www.bernardsilverman.com
wandafromx(rnorm(100, c( rep(0,90), rep(5,10))))