MatrixNormalDistribution

MatrixNormalDistribution[Σrow, Σcol] represents zero mean matrix normal distribution with row covariance matrix Σrow and column covariance matrix Σcol.

MatrixNormalDistribution[μ, Σrow, Σcol] represents matrix normal distribution with mean matrix μ.

Examples

Create a matrix normal distribution:

dist = MatrixNormalDistribution[{{1, 0}, {0, 1}}, {{1, 0}, {0, 1}}]

Generate a random sample:

RandomVariate[MatrixNormalDistribution[{{1, 0.5}, {0.5, 1}}, {{1, 0}, {0, 1}}]]

Please visit the official Wolfram Language Reference for more details.