MultinormalDistribution

MultinormalDistribution[Σ] represents a multivariate normal distribution with zero mean and covariance matrix Σ.

MultinormalDistribution[μ, Σ] represents a multivariate normal (Gaussian) distribution with mean vector μ and covariance matrix Σ.

Examples

Define a bivariate normal:

dist = MultinormalDistribution[{0, 0}, {{1, 0.5}, {0.5, 1}}]

Sample from it:

RandomVariate[MultinormalDistribution[{1, 2}, IdentityMatrix[2]], 5]

Please visit the official Wolfram Language Reference for more details.