Index: The Book of Statistical ProofsProbability Distributions ▷ Multivariate continuous distributions ▷ Normal-gamma distribution ▷ Marginal distributions

Theorem: Let $x$ and $y$ follow a normal-gamma distribution:

$\label{eq:ng} x,y \sim \mathrm{NG}(\mu, \Lambda, a, b) \; .$

Then, the marginal distribution of $y$ is a gamma distribution

$\label{eq:ng-marg-y} y \sim \mathrm{Gam}(a, b)$

and the marginal distribution of $x$ is a multivariate t-distribution

$\label{eq:ng-marg-x} x \sim t\left( \mu, \left(\frac{a}{b} \Lambda \right)^{-1}, 2a \right) \; .$

Proof: The probability density function of the normal-gamma distribution is given by

$\label{eq:ng-pdf} \begin{split} p(x,y) &= p(x|y) \cdot p(y) \\ p(x|y) &= \mathcal{N}(x; \mu, (y \Lambda)^{-1}) \\ p(y) &= \mathrm{Gam}(y; a, b) \; . \end{split}$

Using the law of marginal probability, the marginal distribution of $y$ can be derived as

$\label{eq:ng-marg-y-qed} \begin{split} p(y) &= \int p(x,y) \, \mathrm{d}x \\ &= \int \mathcal{N}(x; \mu, (y \Lambda)^{-1}) \, \mathrm{Gam}(y; a, b) \, \mathrm{d}x \\ &= \mathrm{Gam}(y; a, b) \int \mathcal{N}(x; \mu, (y \Lambda)^{-1}) \, \mathrm{d}x \\ &= \mathrm{Gam}(y; a, b) \end{split}$

which is the probability density function of the gamma distribution with shape parameter $a$ and rate parameter $b$.

Using the law of marginal probability, the marginal distribution of $x$ can be derived as

$\label{eq:ng-marg-x-qed} \begin{split} p(x) &= \int p(x,y) \, \mathrm{d}y \\ &= \int \mathcal{N}(x; \mu, (y \Lambda)^{-1}) \, \mathrm{Gam}(y; a, b) \, \mathrm{d}y \\ &= \int \sqrt{\frac{|y \Lambda|}{(2 \pi)^n}} \, \exp \left[ -\frac{1}{2} (x-\mu)^\mathrm{T} (y \Lambda) (x-\mu) \right] \cdot \frac{b^a}{\Gamma(a)} \, y^{a-1} \exp[-b y] \, \mathrm{d}y \\ &= \int \sqrt{\frac{y^n |\Lambda|}{(2 \pi)^n}} \, \exp \left[ -\frac{1}{2} (x-\mu)^\mathrm{T} (y \Lambda) (x-\mu) \right] \cdot \frac{b^a}{\Gamma(a)} \, y^{a-1} \exp[-b y] \, \mathrm{d}y \\ &= \int \sqrt{\frac{|\Lambda|}{(2 \pi)^n}} \cdot \frac{b^a}{\Gamma(a)} \cdot y^{a+\frac{n}{2}-1} \cdot \exp \left[ -\left( b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right) y \right] \mathrm{d}y \\ &= \int \sqrt{\frac{|\Lambda|}{(2 \pi)^n}} \cdot \frac{b^a}{\Gamma(a)} \cdot \frac{\Gamma\left( a+\frac{n}{2} \right)}{\left( b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{a+\frac{n}{2}}} \cdot \mathrm{Gam}\left( y; a+\frac{n}{2}, b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right) \mathrm{d}y \\ &= \sqrt{\frac{|\Lambda|}{(2 \pi)^n}} \cdot \frac{b^a}{\Gamma(a)} \cdot \frac{\Gamma\left( a+\frac{n}{2} \right)}{\left( b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{a+\frac{n}{2}}} \int \mathrm{Gam}\left( y; a+\frac{n}{2}, b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right) \mathrm{d}y \\ &= \sqrt{\frac{|\Lambda|}{(2 \pi)^n}} \cdot \frac{b^a}{\Gamma(a)} \cdot \frac{\Gamma\left( a+\frac{n}{2} \right)}{\left( b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{a+\frac{n}{2}}} \\ &= \frac{\sqrt{|\Lambda|}}{(2 \pi)^\frac{n}{2}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot b^a \cdot \left( b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{-\left( a+\frac{n}{2} \right)} \\ &= \frac{\sqrt{|\Lambda|}}{\pi^\frac{n}{2}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot \left( \frac{1}{b} \right)^{-a} \cdot \left( b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{-a} \cdot 2^{-\frac{n}{2}} \cdot \left( b + \frac{1}{2} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{-\frac{n}{2}} \\ &= \frac{\sqrt{|\Lambda|}}{\pi^\frac{n}{2}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot \left( 1 + \frac{1}{2b} (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{-a} \cdot \left( 2b + (x-\mu)^\mathrm{T} \Lambda (x-\mu) \right)^{-\frac{n}{2}} \\ &= \frac{\sqrt{|\Lambda|}}{\pi^\frac{n}{2}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot \left( \frac{1}{2a} \right)^{-a} \cdot \left( 2a + (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-a} \cdot \left( \frac{b}{a} \right)^{-\frac{n}{2}} \cdot \left( 2a + (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-\frac{n}{2}} \\ &= \frac{\sqrt{\left( \frac{a}{b} \right)^n |\Lambda|}}{(2a)^{-a}\,\pi^\frac{n}{2}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot \left( 2a + (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-a} \cdot \left( 2a + (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-\frac{n}{2}} \\ &= \frac{\sqrt{\left( \frac{a}{b} \right)^n |\Lambda|}}{(2a)^{-a}\,\pi^\frac{n}{2}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot (2a)^{-a} \cdot \left( 1 + \frac{1}{2a} (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-a} \cdot (2a)^{-\frac{n}{2}} \cdot \left( 1 + \frac{1}{2a} (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-\frac{n}{2}} \\ &= \frac{\sqrt{\left( \frac{a}{b} \right)^n |\Lambda|}}{(2a)^\frac{n}{2}\,\pi^\frac{n}{2}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot \left( 1 + \frac{1}{2a} (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-\frac{2a+n}{2}} \\ &= \sqrt{\frac{\left| \frac{a}{b}\,\Lambda \right|}{(2a\,\pi)^n}} \cdot \frac{\Gamma\left( \frac{2a+n}{2} \right)}{\Gamma\left( \frac{2a}{2} \right)} \cdot \left( 1 + \frac{1}{2a} (x-\mu)^\mathrm{T} \left( \frac{a}{b}\Lambda \right) (x-\mu) \right)^{-\frac{2a+n}{2}} \\ \end{split}$

which is the probability density function of a multivariate t-distribution with mean vector $\mu$, shape matrix $\left( \frac{a}{b}\Lambda \right)^{-1}$ and $2a$ degrees of freedom.

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Metadata: ID: P36 | shortcut: ng-marg | author: JoramSoch | date: 2020-01-29, 21:42.