All multivariate random variables with finite variances are univariate functions of uncorrelated random variables and if the multivariate distribution is absolutely continuous then these univariate functions are piecewise linear. They can be independent of the correlations in the Gaussian case.

中文翻译：

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用不相关的随机变量表示

所有具有有限方差的多元随机变量都是不相关的随机变量的单变量函数，如果多元分布是绝对连续的，则这些单变量函数是分段线性的。它们可以独立于高斯情况下的相关性。