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As far as I understand, when we fix the condition for the conditional density, we get probability distribution and the integral over all the space is $1$ $P(X|Y=y_0)$:

$$\int_{\mathbb{R}}f_{X \mid Y}(x \mid y=y_0)dx=P(X|Y=y_0)<1 $$

However, suppose we want to take integral:

$$\int_{\mathbb{R}}\bigg(\int_{\mathbb{R}}f_{X \mid Y}(x \mid y)dx\bigg)dy $$

I thought it is equal to $1$, but approximate numerical computation through summation for continuous conditional density $$\sum_{i=1}^N \sum_{j=1}^N f_{X\mid Y}(a+\frac{b-a}{N}i \ \ \big| \ \ a+\frac{b-a}{N}j)\cdot(\frac{b-a}{N})^2 $$ gives very big values, e.g. $3000$ or even $1e+25$.

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    $\begingroup$ see answer by grand_chat. Your value maybe correct but you have misunderstanding of integration with respect to marginal distribution. What you really mean is to integration of joint distribution of x and y equals 1. $\endgroup$ – lzstat Jun 1 '16 at 18:19
  • $\begingroup$ @lzstat Thank you very much! So the integral over $f(x,y)$ is $1$ while $f(x \mid y)$ can be arbitrary number that doesn't mean anything. $\endgroup$ – Slowpoke Jun 1 '16 at 18:22
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    $\begingroup$ Just to mention that $$\int_{\mathbb{R}}f_{X \mid Y}(x \mid y)dx=1$$ and that $P(X|Y=y_0)$ is either undefined or bad notation. $\endgroup$ – Did Jun 1 '16 at 18:28
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When you integrate the conditional density of $X$ given $Y=y$ over all $x$, you should get $1$: $$ \int_{\mathbb{R}}f_{X \mid Y}(x \mid Y=y)dx = 1\tag1 $$ because you've just computed $P(X\in\mathbb{R}\mid Y=y)$. This is true for every value of $y$. So when you attempt to integrate (1) over all values of $y$, you'll be integrating the constant $1$. The result doesn't need to equal $1$. If $Y$ is discrete, you'll be essentially counting the number of possible values for $Y$.

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    $\begingroup$ This answer makes sense. integration of marginal distribution of x given y should be 1 indeed. $\endgroup$ – lzstat Jun 1 '16 at 18:16
  • $\begingroup$ @Izstat Thank you! So, the second integral over $x$ and $y$ is not a probability as I thought before. $\endgroup$ – Slowpoke Jun 1 '16 at 18:19
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    $\begingroup$ @Slowpoke Correct. Since (1) is not a probability density as a function of $y$, you should not expect the integral over $y$ of (1) to equal anything in particular. It is typically not an interesting quantity. $\endgroup$ – grand_chat Jun 1 '16 at 18:22
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    $\begingroup$ @Slowpoke, yes, it is not probability in second integration. You really need the joint distribution of the two in order to get probability 1. $\endgroup$ – lzstat Jun 1 '16 at 18:24

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