Programatically Understand Gaussian Processes: Part 1

These tell us the marginal 1d distributions of $X_1$ and $X_2$. The marginal distribution of $X_1$ is the distribution of $X_1$ considering all values of $X_2$ and vice versa. What would you expect the marginal distribution of $X_1$ to look like?

Source: nipunbatra.github.io