Gaussian Distribution

PDF μ σ2 ΦX(ω)
\[\frac{1}{\sqrt{2\pi\sigma^{2}}}*exp(-(x-\mu)^{2}/2\sigma^{2}) \] μ σ2 \[exp(j\omega-\sigma^{2}\omega^{2}/2)\]

Random Vector

X ~ N(μX,CX)

\[f_{X}(x) = (\frac{1}{(2\pi)^{n/2}(||C_{X}||)^{1/2}})(e^{}xp(-\frac{1}{2}*(xbar-\mu_{x})'C_{X}(xbar-\mu_{X}))\]