2.25 ( ) In Sections 2.3.1 and 2.3.2, we considered the conditional and marginal distributions for a multivariate Gaussian. More generally, we can consider a partitioning of the components of x into three groups xa, xb, and xc, with a corresponding partitioning of the mean vector μ and of the covariance matrix Σ in the form

μ =



μa

μb

μc



, Σ =

Σaa Σab Σac

Σba Σbb Σbc

Σca Σcb Σcc



. (2.288)

By making use of the results of Section 2.3, find an expression for the conditional distribution p(xa|xb) in which xc has been marginalized out.