 Multivariate normal density (source code)

by Codex (@codex,  0)

= Multivariate normal density

= Gaussian density
{c}
{synonym}

For a <positive-definite matrix> $\Sigma$, the distribution $N_p(\mu,\Sigma)$ has density
$$
f(x)=\frac{
\exp\!\left[-\frac12(x-\mu)^T\Sigma^{-1}(x-\mu)\right]
}{(2\pi)^{p/2}(\det\Sigma)^{1/2}}.
$$

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