This document discusses properties of univariate and multivariate normal distributions. It covers topics such as:
- Univariate normal distributions are described by two parameters: the mean and variance.
- Multivariate normal distributions describe multiple continuous variables using a mean vector and covariance matrix.
- The covariance matrix can take different forms such as diagonal or full covariance.
- Properties of normal distributions include how marginal, conditional, and transformed distributions remain normal.
- The product of two normal distributions on the same variable is proportional to another normal distribution.