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    Multivariate Normal Distribution

    Definition

    A p-variate multivariate normal distribution (also called a multinormal distribution) is a generalization of the bivariate normal distribution. The p-multivariate distribution with mean vector μ and covariance matrix Σ is denoted N_p(μ, Σ). The multivariate normal distribution is implemented as MultinormalDistribution[{mu1, mu2, ...}, {{sigma11, sigma12, ...}, {sigma12, sigma22, ..., }...}, {x1, x2, ...}] in the Wolfram Language package MultivariateStatisticsˋ (where the matrix Σ must be symmetric since σ_(i j) = σ_(j i)).

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