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Cumulative distribution function. While the PDF gives the probability density of each value of a random variable, the CDF (often denoted $F(x)$) gives the probability that the random variable will be less than or equal to a specified value.

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How to calculate the probability of a data point belonging to a multivariate normal distribu...

Okay, so I have a $n$-dimensional normal distribution with the means and co-variance matrix defined (for now we can assume that these are the true distribution parameters, not estimates). For a given …