x ∼ N ( 0 , σ 2 ) , y ∣ x ∼ N ( x , c 2 ) x \sim \mathcal{N}(0, \sigma^2), y|x \sim \mathcal{N}(x, c^2) x∼N(0,σ2),y∣x∼N(x,c2)
f ( y ) = ∫ x f ( y ∣ x ) f ( x ) d x = ∫ x 1 2 π c e − ( y − x ) 2 2 c 2 1 2 π σ e − x 2 2 σ 2 d x = 1 2 π c e − y 2 2 c 2 ∫ x 1 2 π σ e − ( σ 2 + c 2 ) x 2 2 σ 2 c 2 + y x c 2 d x = 1 2 π c e − y 2 2 c 2 ∫ x 1 2 π σ e − x 2 − 2 σ 2 y σ 2 + c 2 x + ( σ 2 y σ 2 + c 2 ) 2 2 σ 2 c 2 σ 2 + c 2 + σ 2 y 2 2 c 2 ( σ 2 + c 2 ) d x = 1 2 π σ 2 + c 2 e − y 2 2 c 2 + σ 2 y 2 2 c 2 ( σ 2 + c 2 ) ∫ x 1 2 π σ c σ 2 + c 2 e − ( x − σ 2 y σ 2 + c 2 ) 2 2 σ 2 c 2 σ 2 + c 2 d x = 1 2 π σ 2 + c 2 e − y 2 2 ( σ 2 + c 2 ) \begin{aligned} f(y) &= \int_x f(y | x) f(x) dx \\ &= \int_x \frac{1}{\sqrt{2\pi} c} e^{-\frac{(y-x)^2}{2 c^2}} \frac{1}{\sqrt{2\pi} \sigma} e^{-\frac{x^2}{2 \sigma^2}} dx \\ &= \frac{1}{\sqrt{2\pi} c} e^{-\frac{y^2}{2 c^2}} \int_x \frac{1}{\sqrt{2\pi} \sigma} e^{-\frac{(\sigma^2 + c^2)x^2}{2 \sigma^2 c^2} + \frac{yx}{c^2}} dx \\ &= \frac{1}{\sqrt{2\pi} c} e^{-\frac{y^2}{2 c^2}} \int_x \frac{1}{\sqrt{2\pi} \sigma} e^{-\frac{x^2 - 2 \frac{\sigma^2 y}{\sigma^2 + c^2} x + (\frac{\sigma^2 y}{\sigma^2 + c^2})^2}{2 \frac{\sigma^2 c^2}{\sigma^2 + c^2}} + \frac{\sigma^2y2}{2 c^2 (\sigma^2 + c^2)}} dx \\ &= \frac{1}{\sqrt{2\pi} \sqrt{\sigma^2 + c^2}} e^{-\frac{y^2}{2 c^2} +\frac{\sigma^2y2}{2 c^2 (\sigma^2 + c^2)}} \int_x \frac{1}{\sqrt{2\pi} \frac{\sigma c}{\sqrt{\sigma^2 + c^2}}} e^{-\frac{(x - \frac{\sigma^2 y}{\sigma^2 + c^2} )^2}{2 \frac{\sigma^2 c^2}{\sigma^2 + c^2}}} dx \\ &= \frac{1}{\sqrt{2\pi} \sqrt{\sigma^2 + c^2}} e^{-\frac{y^2}{2(\sigma^2 + c^2)}} \end{aligned} f(y)=∫xf(y∣x)f(x)dx=∫x2πc1e−2c2(y−x)22πσ1e−2σ2x2dx=2πc1e−2c2y2∫x2πσ1e−2σ2c2(σ2+c2)x2+c2yxdx=2πc1e−2c2y2∫x2πσ1e−2σ2+c2σ2c2x2−2σ2+c2σ2yx+(σ2+c2σ2y)2+2c2(σ2+c2)σ2y2dx=2πσ2+c21e−2c2y2+2c2(σ2+c2)σ2y2∫x2πσ2+c2σc1e−2σ2+c2σ2c2(x−σ2+c2σ2y)2dx=2πσ2+c21e−2(σ2+c2)y2
因此 y ∼ N ( 0 , σ 2 + c 2 ) y \sim \mathcal{N}(0, \sigma^2 + c^2) y∼N(0,σ2+c2)
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