I am studying gaussian mixture models. The first step defines the following equation.

They then proceed to marginalize $z_n$ out

My question is, how did they arrive at that equation ? Where did the product over $K$ go to ? Marginalizing over $z_n$ means to sum over $z_n$. But there was a multiplication over $n$ in the original equation. What happened to it ?

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#### Best Answer

The first equation, $p(textbf{X, z} mid bf{theta})$ refers to the joint likelihood function of all observed data, $textbf{X} = x_1, x_2, ldots, x_N$ and the latent variables, $textbf{z} = z_1, z_2, ldots, z_N$, given the model parameters, $bf{theta} equiv {bf{mu, Sigma, pi}}$ hence the first equation has a product over $N$ and $K$.

The second equation refers to the likelihood of a single observation, $p(x_n mid bf{theta})$. It comes from the following intuition,

Given the latent variable assignment, $z_n = k$, the given observation $x_n$ is drawn from the $k^{th}$ Gaussian component of the mixture model.

$$ p(x_n mid z_n = k, theta) = mathcal{N}(mu_k, Sigma_k) $$

Now, for a given observation, if you marginalize $z_n$, you get

$$ begin{align} p(x_n mid theta) &= sum_{k=1}^{K} p(z_n = k) times p(x_n mid z_n = k, bf{theta}) \ &= sum_{k=1}^{K} pi_k times p(x_n mid z_n = k, bf{theta}) end{align} $$

Hope that helps!

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