In addition to continuous and discrete univariate distributions, the
Extreme Optimization Numerical Libraries for .NET provide classes that
implement the most common multivariate probability distributions.
The classes that implement multivariate probability distributions also reside
in the Extreme.Statistics.Distributions
Multivariate distribution classes provide three major features: access to the
moments (mean, etc.), access to the various distribution functions (PDF),
and the ability to generate random variates from the distribution.