The multivariate normal distribution is among the most important of multivariate distributions, particularly in statistical inference and the study of Gaussian processes such as Brownian motion. The d...The multivariate normal distribution is among the most important of multivariate distributions, particularly in statistical inference and the study of Gaussian processes such as Brownian motion. The distribution arises naturally from linear transformations of independent normal variables. In this section, we consider the bivariate normal distribution first, because explicit results can be given and because graphical interpretations are possible.
