As of Version 8, MultinormalDistribution is part of the built-in Wolfram Language kernel.
represents a multivariate normal (Gaussian) distribution with mean vector μ and covariance matrix Σ.
- 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-μ).Σ-1.(x-μ)/2.
- The mean μ can be any vector of real numbers, and Σ can be any symmetric positive definite p×p matrix with p=Length[μ].
- MultinormalDistribution can be used with such functions as Mean, CDF, and RandomReal.