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Multivariate Statistics Package Symbol

MultinormalDistribution

MultinormalDistribution[

]
represents a multivariate normal (Gaussian) distribution with mean vector

and covariance matrix

To use MultinormalDistribution, you first need to load the Multivariate Statistics Package using Needs["MultivariateStatistics`"].

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

Needs["MultivariateStatistics`"]

The variances of each dimension:

Needs["MultivariateStatistics`"]

Probability density function: