Marginal Density Function
The density of one component, integrating the joint density over every other coordinate.
Definition 4.24 (Marginal Density Function)
Let be a random vector with density . The marginal density function of is defined as
Proof
Suppose has density . Then
so the distribution function of is an integral with integrand , which is therefore the density of .
Related
Stated in
- Definition 4.24 (Marginal Density Function)§4.6.2 Marginal Density Functions