If $X_1, ..., X_n$ are normal random variables, will $[X_1, ..., X_n]$ be a normal random vector?
I know if $X_1, ..., X_n$ are further independent, then $[X_1, ..., X_n]$ is a normal random vector. Can there be more relaxed condition on $X_1, ..., X_n$ than being independent?
Thanks in advance!