wandafromx

Find Empirical Bayes Weight and scale factor from Data

DESCRIPTION

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

USAGE

[w,a] = wandafromx(x)

REQUIRED ARGUMENTS

x	a vector of data

OPTIONAL ARGUMENTS

None

VALUE

w The estimated weight

a The estimated scale factor

BACKGROUND

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=length(x) .Ê The search uses a nonlinear optimization routine (aconstr) to minimize the auxiliary function negloglik.laplace. The range over which the scale factor is searched is (0.04, 3).

SEE ALSO

wfromx

EXAMPLES

[weight,scale] = wandafromx(x);