I am trying to compute multivariate normal distributions at some points.
I am using Matlab's
y = mvnpdf(X,MU,SIGMA)
The first argument is the point where I compute the density, MU is the mean and SIGMA the covariance.
I am puzzled by the following result:
mvnpdf([0 0 0],[0 0 0],0.001*eye(3)) ans = 2.0078e+03 >> mvnpdf([0 0 0.002],[0 0 0],0.001*eye(3)) ans = 2.0038e+03
I am going at $2\sigma^2$ from the mean and the density is almost the same? Shouldn't the result be close to zero?