Multivariate normal distribution (PDF for diagonal covariance plus Mean Covariance Variance)
MultinormalDistribution[μ, Σ]
MultinormalDistribution[Σ]
Σ = {{Subscript[σ, 1]^2, ρ Subscript[σ, 1]Subscript[σ, 2]}, {ρ Subscript[σ, 1]Subscript[σ, 2], Subscript[σ, 2]^2}}; Mean[MultinormalDistribution[{Subscript[μ, 1], Subscript[μ, 2]}, Σ]]
→ {Subscript[μ, 1], Subscript[μ, 2]}