Page "Multivariate normal distribution" Paragraph 103

Moreover, U can be chosen to be a rotation matrix, as inverting an axis does not have any effect on N ( 0, Λ ), but inverting a column changes the sign of U's determinant.

The distribution N ( μ, Σ ) is in effect N ( 0, I ) scaled by Λ < sup > 1 / 2 </ sup >, rotated by U and translated by μ.