Marginalization in Gaussian Distribution
2 min readJul 21, 2023
Marginalization is a fundamental operation in probability and statistics that involves integrating out or summing over a variable to obtain the probability distribution of the remaining variables. When dealing with Gaussian distributions, marginalization is a straightforward process because the Gaussian distribution is closed under marginalization and conditioning operations.
Let’s consider a joint Gaussian distribution of two random variables X and Y:
p(X, Y) ~ N(μ, Σ)