Multivariate normal distribution
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In probability theory and statistics, the multivariate normal distribution, multivariate Gaussian distribution, or joint normal distribution is a generalization of the one-dimensional normal distribution to higher dimensions. Wikipedia
Mean: μ
Parameters: μ ∈ Rk — location; Σ ∈ Rk × k — covariance (positive semi-definite matrix)
PDF: exists only when Σ is positive-definite
Support: x ∈ μ + span(Σ) ⊆ Rk
Variance: Σ