The rumor says that Normal distribution is everything.
It will take a long long time to talk about the Normal distribution thoroughly. However, today I will focus on a (seemingly) simple question, as is stated below:
If $X$ and $Y$ are univariate Normal random variables, will $X+Y$ also be Normal?
What’s your reaction towards this question? Well, at least for me, when I saw it I said “Oh, it’s stupid. Absolutely it is Normal.
