Multivariate normal distribution

A multivariate normal random variable.

Notes

The probability density function for multivariate_normal is

.. math::

f(x)=\frac{1}{\sqrt{(2\pi)^{k}\det(\Sigma)}} \exp(-\frac{1}{2}(x-\mu)^{T}\Sigma^{-1}(x-\mu) ) 

where :math:\mu is the mean, :math:\Sigma the covariance matrix, and :math:k is the dimension of the space where :math:x takes values.