The Multivariate Normal Distribution
The multivariate normal (MV-N) distribution is a multivariate generalization of the one-dimensional normal distribution. In its simplest form, which is called the “standard” MV-N distribution, it describes the joint distribution of a random vector whose entries are mutually independent univariate normal random variables, all having zero mean and unit variance. In its general form, it describes the joint distribution of a random vector that can be represented as a linear transformation of a standard MV-N vector (Taboga)
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