Just wanted to chime in that I have the same issue; advice would be appreciated.
julia> x_hat_F
2-element Array{Float64,1}:
1.5999999999999996
-1.3333333333333328
julia> Σ_F
2×2 Array{Float64,2}:
0.133333 0.1
0.1 0.15
julia> MvNormal(x_hat_F, Σ_F)
ERROR: PosDefException: matrix is not Hermitian; Cholesky factorization failed.
Stacktrace:
[1] checkpositivedefinite(::Int64) at C:\cygwin\home\Administrator\buildbot\worker\package_win64\build\usr\share\julia\stdlib\v1.0\LinearAlgebra\src\factorization.jl:11
[2] #cholesky!#91(::Bool, ::Function, ::Array{Float64,2}, ::Val{false}) at C:\cygwin\home\Administrator\buildbot\worker\package_win64\build\usr\share\julia\stdlib\v1.0\LinearAlgebra\src\cholesky.jl:182
[3] #cholesky! at .\none:0 [inlined] (repeats 2 times)
[4] #cholesky#95 at C:\cygwin\home\Administrator\buildbot\worker\package_win64\build\usr\share\julia\stdlib\v1.0\LinearAlgebra\src\cholesky.jl:275 [inlined]
[5] cholesky at C:\cygwin\home\Administrator\buildbot\worker\package_win64\build\usr\share\julia\stdlib\v1.0\LinearAlgebra\src\cholesky.jl:275 [inlined] (repeats 2 times)
[6] Type at C:\Users\Arnav Sood\.julia\packages\PDMats\mL7bX\src\pdmat.jl:16 [inlined]
[7] MvNormal(::Array{Float64,1}, ::Array{Float64,2}) at C:\Users\Arnav Sood\.julia\packages\Distributions\WHjOk\src\multivariate\mvnormal.jl:208
[8] top-level scope at none:0