A Partially Collapsed Sampler for Unsupervised Nonnegative Spike Train Restoration

Abstract: In this paper the problem of restoration of non-negative sparse signals is addressed in the Bayesian framework. We introduce a new probabilistic hierarchical prior, based on the Generalized Hyperbolic (GH) distribution, which explicitly accounts for sparsity. This new prior allows on the one hand, to take into account the non-negativity. And on the other hand, thanks to the decomposition of GH distributions as continuous Gaussian mean-variance mixture, allows us to propose a partially collapsed Gibbs sampler (PCGS), which is shown to be more efficient in terms of convergence time than the classical Gibbs sampler.