Find weight and scale factor from data if Laplace prior is used

Description

Given a vector of data, find the marginal maximum likelihood choice of both weight and scale factor under the Laplace prior.

Usage

1

Arguments

x

a vector of data

Details

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.

Value

A list with values

w

The estimated weight

a

The estimated scale factor

Author(s)

Bernard Silverman

References

See ebayesthresh and http://www.bernardsilverman.com

See Also

wfromx, tfromw

Examples

1
wandafromx(rnorm(100, c( rep(0,90), rep(5,10))))