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Multivariate normal density

For a positive-definite matrix

Σ

, the distribution

N_{p} (μ, Σ)

has density

f (x) = \frac{e x p [ - \frac{1}{2} ( x - μ ) ^{T} Σ ^{- 1} ( x - μ ) ]}{( 2 π ) ^{p /2} ( d e t Σ ) ^{1/2}} .

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