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Right. (You also need X and Y to be independent, or at least multivariate Gaussian -- i.e., X and Y can both be Gaussian but (X,Y) can fail to be Gaussian as a
by mturmon 14y ago
Right. (You also need X and Y to be independent, or at least multivariate Gaussian -- i.e., X and Y can both be Gaussian but (X,Y) can fail to be Gaussian as a pair.)
The product of Gaussian random variables is certainly not Gaussian.