The Multivariate Normal Distribution

  • Bernard Flury
Part of the Springer Texts in Statistics book series (STS)


Before introducing the multivariate normal distribution, let us briefly review some important results about the univariate normal.


Covariance Matrix Random Vector Normal Random Variable Multivariate Normal Distribution Scale Mixture 
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Suggested Further Reading

  1. Muirhead, R.J. 1982. Aspects of Multivariate Statistical Theory. New York: Wiley.zbMATHCrossRefGoogle Scholar
  2. Efron, B. 1969. Students’s t-test under symmetry conditions. Journal of the American Statistical Association 64, 1278–1302.MathSciNetzbMATHGoogle Scholar
  3. Fang, K., Kotz, S., and Ng, K. 1990. Symmetric Multivariate and Related Distributions. London: Chapman and Hall.zbMATHGoogle Scholar
  4. Kelker, D. 1970. Distribution theory of spherical distributions and a location-scale parameter generalization. Sankhya A 32, 419–430.MathSciNetzbMATHGoogle Scholar

Copyright information

© Springer Science+Business Media New York 1997

Authors and Affiliations

  • Bernard Flury
    • 1
  1. 1.Department of MathematicsIndiana UniversityBloomingtonUSA

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