I was able to find https://brilliant.org/wiki/multivariate-normal-distribution/ and I am aware the the diagonal gaussian distribution is a special case where the only entries are on the diagonal, however I do not understand this entirely yet and finding a visualization or description of a visualization would help greatly.

Thank you in advance.

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#### Best Answer

Try to visualize the "equidensity" level curves of the distribution as axis-aligned concentric ellipsoids in 3D, with most of the mass concentrated near the center (but this last point breaks down in higher dimensions)

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