In probability theory, the normal (or Gaussian) distribution is a continuous probability distribution, defined by the formula



The parameter μ in this formula is the mean or expectation of the distribution (and also its median and mode). The parameter σ is its standard deviation; its variance is therefore σ2. A random variable with a Gaussian distribution is said to be normally distributed and is called a normal deviate.

If μ = 0 and σ = 1, the distribution is called the standard normal distribution or the unit normal distribution, and a random variable with that distribution is a standard normal deviate.



The red curve is the standard normal distribution.




standard normal distribution



Multivariate Normal Distribution

(http://en.wikipedia.org/wiki/Multivariate_normal_distribution)




References


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