As A Parameter of A Distribution
If a vector of n possibly correlated random variables is jointly normally distributed, or more generally elliptically distributed, then its probability density function can be expressed in terms of the covariance matrix.
Read more about this topic: Covariance Matrix
Famous quotes containing the word distribution:
“The man who pretends that the distribution of income in this country reflects the distribution of ability or character is an ignoramus. The man who says that it could by any possible political device be made to do so is an unpractical visionary. But the man who says that it ought to do so is something worse than an ignoramous and more disastrous than a visionary: he is, in the profoundest Scriptural sense of the word, a fool.”
—George Bernard Shaw (1856–1950)