dist_to_origin.py

import numpy as np
import matplotlib.pyplot as plt 
from scipy import stats
import seaborn as sns 

dims = [1,10,100,500]
plt.figure(figsize=(10,5),dpi=500)
for d in dims:
    cov = np.eye(d)
    n = np.random.multivariate_normal(mean=np.zeros((d,)),cov=cov,size=10000)
    dist = np.linalg.norm(n,axis=1)
    sns.kdeplot(dist,fill=True,label='dims={}'.format(d))
    plt.xlim([0,30])
    plt.legend()
    plt.title("Distance of points from multivariate normal to the Origin")