We have a matrix of stochastic variables $X\sim\mathcal{N}(0,\Sigma^2)$, where $\Sigma^2$ is a positive definite covariance matrix. How do we calculate the 95% confidence interval for X? (lets say that $X$ consists of 5 variables).
2026-04-25 22:45:19.1777157119
Confidence interval from covariance matrix
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