wfromx: Find Empirical Bayes weight from data

Description Usage Arguments Details Value Author(s) References See Also Examples

View source: R/wfromx.R


Suppose the vector (x_1, …, x_n) is such that x_i is drawn independently from a normal distribution with mean θ_i and standard deviation s_i (s_i equals 1 for Cauchy prior). The prior distribution of the theta_i is a mixture with probability 1-w of zero and probability w of a given symmetric heavy-tailed distribution. This routine finds the marginal maximum likelihood estimate of the parameter w.


wfromx(x, s = 1, prior = "laplace", a = 0.5, universalthresh = TRUE)



Vector of data.


A single value or a vector of standard deviations if the Laplace prior is used. If a vector, must have the same length as x. Ignored if Cauchy prior is used.


Specification of prior to be used; can be "cauchy" or "laplace".


Scale factor if Laplace prior is used. Ignored if Cauchy prior is used.


If universalthresh = TRUE, the thresholds will be upper bounded by universal threshold; otherwise, the thresholds can take any non-negative values.


The weight is found by marginal maximum likelihood.

The search is over weights corresponding to threshold t_i in the range [0, s_i sqrt(2 log n)] if universalthresh=TRUE, where n is the length of the data vector and (s_1, ... , s_n) (s_i is 1 for Cauchy prior) is the vector of sampling standard deviation of data (x_1, ... , x_n); otherwise, the search is over [0, 1].

The search is by binary search for a solution to the equation S(w)=0, where S is the derivative of the log likelihood. The binary search is on a logarithmic scale in w.

If the Laplace prior is used, the scale parameter is fixed at the value given for a, and defaults to 0.5 if no value is provided. To estimate a as well as w by marginal maximum likelihood, use the routine wandafromx.


The numerical value of the estimated weight.


Bernard Silverman


See ebayesthresh and

See Also

wandafromx, tfromx, tfromw, wfromt


wfromx(x = rnorm(100, s = c(rep(0,90),rep(5,10))), prior = "cauchy")

EbayesThresh documentation built on Aug. 8, 2017, 9:09 a.m.