Concepts inCorrigendum: Algorithm 725: Computation of the multivariate normal integral
Multivariate normal distribution
In probability theory and statistics, the multivariate normal distribution or multivariate Gaussian distribution, is a generalization of the one-dimensional normal distribution to higher dimensions. One possible definition is that a random vector is said to be p-variate normally distributed if every linear combination of its p components has a univariate normal distribution. However, its importance derives mainly from the Multivariate central limit theorem.
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