public void ProbabilityDensityFunctionTest()
{
double[] mean = { 1, -1 };
double[,] covariance =
{
{ 0.9, 0.4 },
{ 0.4, 0.3 },
};
var target = new MultivariateNormalDistribution(mean, covariance);
double[] x = { 1.2, -0.8 };
double expected = 0.446209421363460;
double actual = target.ProbabilityDensityFunction(x);
Assert.AreEqual(expected, actual, 0.00000001);
}