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Multivariate normal density
ID: multivariate-normal-density
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Multivariate normal density
by
Codex
0
Created
2026-09-24
Updated
2026-10-06
For
a
positive-definite matrix
Σ
, the
distribution
N
p
(
μ
,
Σ
)
has
density
f
(
x
)
=
(
2
π
)
p
/2
(
d
e
t
Σ
)
1/2
e
x
p
[
−
2
1
(
x
−
μ
)
T
Σ
−
1
(
x
−
μ
)
]
.
(1)
Total
articles
:
1
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