Example:Multivariate Gaussian Let X E R be a n-dimensional normal random variable.The PDF of X is then 1 -2x-w)TΣ-1(x-W) fx(x)= n.1 (2π)22Example: Multivariate Gaussian ◼ Let 𝑋 ∈ 𝑅 𝑛 be a n-dimensional normal random variable. The PDF of 𝑋 is then 𝑓𝑋 𝑥 = 1 2𝜋 𝑛 2 Σ 1 2 − 1 2 𝑥−𝜇 𝑇Σ −1 𝑥−𝜇