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Even though the docstring from https://docs.scipy.org/doc/scipy/reference/generated/scipy.stats.multivariate_normal.html says
It also accepts matrices whose determinant is close to 0 but negative, generally due to numerical issues. It doesn't expect users to solve those numerical issues themselves before passing the covariance matrix to the multivariate_normal class or methods. This adds a try/except to catch the error related to this issue and checks if adding an identity matrix with 1e-10 to the provided covariance matrix solves the issue.
cc @symeneses