Find weight and scale factor from data if Laplace prior is used
Given a vector of data, find the marginal maximum likelihood choice of both weight and scale factor under the Laplace prior.
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
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
The estimated weight
The estimated scale factor
ebayesthresh and http://www.bernardsilverman.com
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