MultinormalDistribution

MultinormalDistribution[μ,Σ]
represents a multivariate normal (Gaussian) distribution with mean vector μ and covariance matrix Σ.

DetailsDetails

  • The probability density for vector in a multivariate normal distribution is proportional to .
  • The mean μ can be any vector of real numbers, and Σ can be any symmetric positive definite × matrix with p=Length[μ].
  • MultinormalDistribution can be used with such functions as Mean, CDF, and RandomVariate.
Introduced in 2010
(8.0)