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MATHEMATICS
Probability Theory
Multivariate Normal Distribution
Multivariate normal distributions elegantly capture complex correlations in multiple dimensions
6 Feb 2026
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Why is the multivariate normal distribution important in statistics?
Because it only applies to independent variables with no correlation
Because it describes any distribution of random variables, regardless of their relationships
Because it generalizes the normal distribution to multiple correlated variables and underpins the multivariate central limit theorem
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