A Partially Collapsed Gibbs Sampler for Unsupervised Nonnegative Sparse Signal Restoration

In this paper the problem of restoration of unsupervised nonnegative 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. On the one hand, this new prior allows us to take into account the non-negativity. On the other hand, thanks to the decomposition of GH distributions as continuous Gaussian mean-variance mixture, a partially collapsed Gibbs sampler (PCGS) implementation is made possible, which is shown to be more efficient in terms of convergence time than the classical Gibbs sampler.