Empirical Bayes Deconvolution

An unknown prior density $g(\theta)$ has yielded (unobservable) $\Theta_1, \Theta_2,\ldots,\Theta_N$, and each $\Theta_i$ produces an observation $X_i$ from an exponential family. deconvolveR is an R package for estimating prior distribution $g(\theta)$ from the data using Empirical Bayes deconvolution.

Details and examples may be found in the paper by Narasimhan and Efron, 2020. A vignette with further examples is also provided.