NAG Library Manual, Mark 28.7
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NAG CL Interface Introduction
Example description

nag_stat_pdf_multi_normal_vector (g01lbc) Example Program Results

Vector of Means:
  0.1000   0.2000   0.3000   0.4000 

 Covariance Matrix:
            1          2          3          4
 1      4.1600
 2     -3.1200     5.0300
 3      0.5600    -0.8300     0.7600
 4     -0.1000     1.1800     0.3400     1.1800

Rank of the covariance matrix: 4

       PDF                     X
  ------------------------------------------------
    3.0307e-03   1.0000   1.0000   1.0000   1.0000
    4.5232e-06   1.0000   2.0000   3.0000   4.0000