Given a random vector X $X$ of n $n$ normally distributed random variables, and an n x $n \times n$ covariance matrix of those variables with non-zero correlation terms, what is the generalized methodology to find the distribution of a non-linear function f(X1,X2...,Xn) $f(X_1,X_2,\ldots,X_n)$ of the random variables of X?$X$?
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Finding the distribution of a function of n $n$ random, normally distributed correlated variables
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Finding the distribution of a function of n random, normally distributed correlated variablesGiven a random vector X of n normally distributed random variables, and an n x n covariance matrix of those variables with non-zero correlation terms, what is the generalized methodology to find the distribution of a non-linear function f(X1,X2...,Xn) of the random variables of X?
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