Hello,

I really like Math.NET and am hoping to use it in an upcoming project (and maybe start contributing if I can–I’m not the best at math but I do know code).

Can somebody please help me figure out how to obtain the multivariate normal distribution? I see the Matrix-valued Normal Distribution, but I’m not sure if that can translate to a straight multivariate normal distribution. My end-goal is a two-dimensional array filled with a multivariate normal distribution given a mean and a correlation matrix, similar to MATLAB’s mvnrnd (https://www.mathworks.com/help/stats/mvnrnd.html).

It’s also possible that I’m so ignorant on the subject that I don’t know what I don’t know, so please feel free to correct my question if it’s stupid.

Thanks so much!

-Brian