Multivariate normal distribution

A multivariate normal distribution is the normal distribution generalized into higher dimensions.

Definitions

The distribution is written as $\mathbf {x} \sim {\mathcal {N}}_{k}({\boldsymbol {\mu }},\,{\boldsymbol {\Sigma }})$, where mu is a k-vector mean and sigma is the covariance matrix.

Sources

• https://en.wikipedia.org/wiki/Multivariate_normal_distribution