As of Version 8, MultinormalDistribution is part of the built-in Mathematica kernel.
represents a multivariate normal (Gaussian) distribution with mean vector and covariance matrix .
- To use , 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 .
- The mean can be any vector of real numbers, and can be any symmetric positive definite p×p matrix with p=Length.
- can be used with such functions as Mean, CDF, and RandomReal.