If I have a vector of random variables, X = [ X1, X2, X3, X4 ]
Marginalizing the probability density function can be done by integrating the PDF with respect to the variables you want to remove:
A multivariate Gaussian PDF with mean vector, μ, and covariance matrix, C, is given as:
How would I marginalize this multivariate Gaussian PDF with mean vector and a covariance matrix? Would I approach it like this?:
Would the matrix C and vector μ be treated as constants that can be moved outside the integrals?
Is there an easier way to do this?