Multivariate Normal Distribution: A generalisation of the univariate normal distribution to multiple dimensions, characterised by a mean vector and a covariance matrix.

Then a positive definite quadratic function in normal vectors is defined as XLX' where L is a symmetric positive definite (p.d.) matrix with real elements. In the analysis of variance, such functions ...

Journal of Multivariate Analysis (2020). [3] Bayes minimax estimation of the multivariate normal mean vector under balanced loss function. Statistics & Probability Letters (2014).