ibution-cholesky-parameterization" class="section level2">
<h2><span class="header-section-number">21.5</span> Multivariate Gaussian Process Distribution, Cholesky parameterization</h2>
<div id="probability-density-function-29" class="section level3">
<h3><span class="header-section-number">21.5.1</span> Probability Density Function</h3>
<p>If <span class="math inline">\(K,N \in \mathbb{N}\)</span>, <span class="math inline">\(L \in \mathbb{R}^{N \times N}\)</span> is lower triangular and such that <span cl