If tracking shows it was delivered to your address, but wasn't, call or visit the carrier with the tracking number and insist they track down where the package was actually left, which they can do with scans and GPS.
If delivered to a wrong address they will try to retrieve it. Also watch the tracking for a scan it got turned in or returned to the seller. If the address on the label is not yours, then you need documentation from the carrier to that effect to show ebay when you appeal the case.
If it shows it was delivered to your address and is now stolen or missing, it is a matter for a local police report and your insurance company. Neither ebay or the seller can help further.
