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there is the exercise 5.30 from the book A First Course in Probability and Statistics from Rao.

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What I have read is that a joint normal PDF is more an exception than a rule here:

Is it possible to have a pair of Gaussian random variables for which the joint distribution is not Gaussian?

But I can't rule out to see how we can prove this. Does someone have potential solutions for this one?

kjetil b halvorsen
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Gabriel Amiot
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