A multivariate distribution is a statistical distribution that describes the behavior of two or more random variables simultaneously. It provides a way to understand how these variables interact with each other, capturing their joint probabilities. Common examples include the multivariate normal distribution, which generalizes the normal distribution to multiple dimensions. These distributions are essential in fields like statistics, machine learning, and economics, as they help model complex relationships between variables. By analyzing multivariate distributions, researchers can identify patterns, correlations, and dependencies, leading to better predictions and insights into the underlying data.