If the covariance matrix [itex]\mathbf{\Sigma}[/itex] of the multivariate normal distribution is invertible one can derive the density function:(adsbygoogle = window.adsbygoogle || []).push({});

[itex]f(x_1,...,x_n) = f(\mathbf{x}) = \frac{1}{(\sqrt(2\pi))^n\sqrt(\det(\mathbf{\Sigma)}}\exp(-\frac{1}{2}(\mathbf{x}-\mathbf{\mu})^T\mathbf{\Sigma}^{-1}(\mathbf{x}-\mathbf{\mu}))[/itex]

So, how do I derive the above?

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# How to derive the multivariate normal distribution

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