Take a bigger matrix and chances are higher that you get rounding errors (with 6x6 you already have something like 50% :

```
julia> MvNormal(rand(6), Matrix(Hermitian(rand(6,6) + I)))
FullNormal(
dim: 6
μ: [0.209424, 0.0390436, 0.944169, 0.669357, 0.624151, 0.0911069]
Σ: [1.59011 0.289772 … 0.244625 0.620135; 0.289772 1.2934 … 0.219601 0.932076; … ; 0.244625 0.219601 … 1.73461 0.12922; 0.620135 0.932076 … 0.12922 1.24544]
)
julia> MvNormal(rand(6), Matrix(Hermitian(rand(6,6) + I)))
ERROR: PosDefException: matrix is not positive definite; Cholesky factorization failed.
Stacktrace:
[1] checkpositivedefinite at /Users/osx/buildbot/slave/package_osx64/build/usr/share/julia/stdlib/v1.0/LinearAlgebra/src/factorization.jl:11 [inlined]
[2] #cholesky!#90(::Bool, ::Function, ::Hermitian{Float64,Array{Float64,2}}, ::Val{false}) at /Users/osx/buildbot/slave/package_osx64/build/usr/share/julia/stdlib/v1.0/LinearAlgebra/src/cholesky.jl:153
[3] #cholesky! at ./none:0 [inlined]
[4] #cholesky!#91(::Bool, ::Function, ::Array{Float64,2}, ::Val{false}) at /Users/osx/buildbot/slave/package_osx64/build/usr/share/julia/stdlib/v1.0/LinearAlgebra/src/cholesky.jl:185
[5] #cholesky! at ./none:0 [inlined] (repeats 2 times)
[6] #cholesky#95 at /Users/osx/buildbot/slave/package_osx64/build/usr/share/julia/stdlib/v1.0/LinearAlgebra/src/cholesky.jl:275 [inlined]
[7] cholesky at /Users/osx/buildbot/slave/package_osx64/build/usr/share/julia/stdlib/v1.0/LinearAlgebra/src/cholesky.jl:275 [inlined] (repeats 2 times)
[8] Type at /Users/tamasgal/.julia/packages/PDMats/Kouno/src/pdmat.jl:19 [inlined]
[9] MvNormal(::Array{Float64,1}, ::Array{Float64,2}) at /Users/tamasgal/.julia/packages/Distributions/WHjOk/src/multivariate/mvnormal.jl:208
[10] top-level scope at none:0
```