I know that $\displaystyle f(x_1, x_2, x_3) = \frac{1}{(2 \pi)^{3/2}|\Sigma|^{1/2}}exp(-\frac{1}{2}x \Sigma^{-1} x)$ since n = 3 and mu = 0.

I've never used the multivariate normal distribution. My prof just derived it, but never taught us how to use it.

Any help would be appreciated.