mean=[0,0,0]
sigma=[1,2,3]
R=[1,0.5,0;0.5,1,0.5;0,0.5,1]
C=diag(sigma)*R*diag(sigma)
cholesky=chol(C)'
inverseCholesky=cholesky^(-1)
inverseR=R^(-1)
inverseCovariance=C^(-1)
normalizationFactor=1/sqrt(det(C))
