A
multivariate random variable or
random vector is a vector
X=(
X_{1},...,
X_{n}) whose components are
random variables on the same
probability space (Ω, P). Every such random vector gives rise to a probability measure on
R^{n} with the
Borel algebra as underlying
sigma-algebra. This measure is also known as the
joint distribution of the random vector. The distributions of each of the component random variables
X_{i} are called
marginal distributions.
Multivariate Gaussian distribution
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