Deriving the multivariate normal distribution from the maximum entropy principle

   • Why Your Covariance Matrix is ALWAYS Posit...   Just like the univariate normal distribution, we can derive the multivariate normal distribution from the maximum entropy principle. But in this case, we need to specify the whole covariance matrix (not just variances). For the univariate version, see    • Maximum entropy and the normal distribution   For the basic properties of multivariate Gaussian integrals, see    • Mastering the Multivariate Gaussian Integr...