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MultinormalDistribution

MultinormalDistribution[, ]
represents a multivariate normal (Gaussian) distribution with mean vector and covariance matrix .
  • The probability density for vector x in a multivariate normal distribution is proportional to -(x-).-1.(x-)/2.
  • The mean can be any vector of real numbers, and can be any symmetric positive definite p×p matrix with p=Length[].
  • MultinormalDistribution can be used with such functions as Mean, CDF, and RandomReal.
Needs["MultivariateStatistics`"]
The mean of a bivariate normal distribution with correlation :
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Needs["MultivariateStatistics`"]
The variances of each dimension:
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Needs["MultivariateStatistics`"]
Probability density function:
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