The Multivariate Normal Distribution

In the introduction, we mentioned that in multivariate analysis our elements are vectors rather than single observations. We did not define a vector, counting on the intuitive interpretation that a vector is an ordered set of numbers. For our purposes, a vector is just that: an ordered set of numbers, with each number representing a value of one of the k variables in our analysis.

A k-dimensional random variable X is

                                                    $X=\left( {{X}_{1}},{{X}_{2}},...,{{X}_{k}} \right)$

where k is some integer