When I checked Wikipedia about Marginal likelihood, I find an equality of the form: $$ p(a\mid b)=\int p(a\mid c)\cdot p(c\mid b)\,dc $$ and it's valid because the parameter c is marginalized/integrated out. However, when I tried proving its validity by actually performing integration and sum&product rules of probability, I failed... And I just can't figure out how that marginalization really works.
Could someone explain it in details and show me the procedures of deduction?
