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How would you derive marginalization as it is given here: http://en.wikipedia.org/wiki/Marginal_distribution?

Thanks,

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    A very good question. Perhaps you get better answers if you would state it as: "How to prove the Chapman–Kolmogorov equation?" (in its general form, not the variant limited to Markov chains)2014-12-21

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Marginalizing amounts to integrating or summing out from joint distributions of several variables to the distribution of a smaller number of variables, usually to one variable. So for example if X and Y have the joint desnsity f(x,y) to get the maginal density for X you compute g(x)=∫f(x,y)dy integrated over all possible values of y. You do the analogous thing with sums for discrete variables.