Certain orthogonal polynomials are employed to estimate the prior distribution of the parameter of natural exponential families with quadratic variance functions in an approach which combines Bayesian and nonparametric empirical Bayesian methods. These estimates are based on samples from the marginal distribution rather than the conditional distribution.
"Bayes Empirical Bayes Estimation for Natural Exponential Families with Quadratic Variance Functions." Ann. Statist. 19 (3) 1191 - 1224, September, 1991. https://doi.org/10.1214/aos/1176348245