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[SerializableAttribute]
public class MultivariateNormalDistribution : MultivariateContinuousDistribution, 
	IFittableDistribution<double[], NormalOptions>, ISampleableDistribution<double[]>, IDistribution, 
	ICloneable

[SerializableAttribute]
public class MultivariateNormalDistribution : MultivariateContinuousDistribution, 
	IFittableDistribution<double[], NormalOptions>, ISampleableDistribution<double[]>, IDistribution, 
	ICloneable

The Gaussian is the most widely used distribution for continuous variables. In the case of many variables, it is governed by two parameters, the mean vector and the variance-covariance matrix.

When a covariance matrix given to the class constructor is not positive definite, the distribution is degenerate and this may be an indication indication that it may be entirely contained in a r-dimensional subspace. Applying a rotation to an orthogonal basis to recover a non-degenerate r-dimensional distribution may help in this case.

References:

• Ai Access. Glossary of Data Modeling. Positive definite matrix. Available on: http://www.aiaccess.net/English/Glossaries/GlosMod/e_gm_positive_definite_matrix.htm