Is there an equivalence between two normal (student's) distributions. in the sense that, if my two variables (X,Y) are normal (student's) then their joint distribution is also normal (student's). I would be glad also if someone can direct me towards the right literature on it.
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This is incorrect, if two marginals are Normal (Student), the joint is not necessarily Normal (Student). – Xi'an May 12 '21 at 16:53
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1See e.g. https://stats.stackexchange.com/q/30159/7224 – Xi'an May 12 '21 at 18:57