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This lesson is a part of the course Common Probability Distributions
A univariate distribution refers to the distribution of a single random variable. Note that the above characteristics we saw of a normal distribution are for the distribution of one normal random variable, representing a univariate distribution.
On the other hand, a multivariate distribution refers to the probability distribution of a group of random variables. For example, a multivariate normal distribution is used to specify the probabilities of returns of a group of n stocks. This has relevance because the returns of different stocks in the group influence each other’s behaviour, that is, the behaviour of one random variable in the group is influenced by the behaviour of another variable.
