Multivariate normal distribution

Use the multivariate normal distribution to describe a group of variables that are correlated. Some multivariate analyses, such as factor analysis and MANOVA, assume that the data follow a multivariate normal distribution. For example, you perform a study to determine optimum conditions for extruding plastic film. You are interested in three correlated responses: tear resistance, gloss, and opacity. This group of variables follows a multivariate normal distribution.

The multivariate normal distribution is defined by a vector of means and the variance-covariance matrix. The multivariate normal distribution is an extension of the univariate normal distribution for applications with a group of variables that may be correlated.

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