Probability Distribution
Every random vector gives rise to a probability measure on Rn with the Borel algebra as the underlying sigma-algebra. This measure is also known as the joint probability distribution, the joint distribution, or the multivariate distribution of the random vector.
The distributions of each of the component random variables Xi are called marginal distributions. The conditional probability distribution of Xi given Xj is the probability distribution of Xi when Xj is known to be a particular value.
Read more about this topic: Multivariate Random Variable
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