Empirical Bayes Deconvolution

An unknown prior density g(θ) has yielded (unobservable) Θ1, Θ2, …, ΘN, and each Θi produces an observation Xi from an exponential family. deconvolveR is an R package for estimating prior distribution g(θ) from the data using Empirical Bayes deconvolution.

The current package is still under construction but will soon appear on CRAN along with a manuscript. Meanwhile, you can reproduce many examples by installing the package in R thus: