multivariate_normal includes the case of correlation=0 and 1. I wonder however if the performance is the same. Using multivariate with correlation=0 is as fast as using normalvariate? I am not saying that we should special-case correlation=0 and 1, just wondering if it makes sense or not (probably not). BTW, where are the tests for the different cases, say correlation=0, 0.5, 1?