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Aug 7, 2023 at 19:19 comment added whuber Because this is a special property of multivariate Normal distributions, you have no hope of succeeding without that assumption.
Aug 7, 2023 at 17:00 history edited User1865345
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Aug 7, 2023 at 16:45 history edited kjetil b halvorsen
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Sep 18, 2018 at 22:41 history edited user220802 CC BY-SA 4.0
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Sep 18, 2018 at 4:15 comment added MauOlivares See references at the end of the proof for the necessity part, they are listed there.
Sep 18, 2018 at 4:14 comment added user220802 Thanks! Do you know where I can read the full proof of necessity (even if long).
Sep 18, 2018 at 4:11 comment added MauOlivares The proof of this theorem is long, but here you can check the proof for sufficiency (Theorem 6)
Sep 18, 2018 at 4:05 history edited user220802 CC BY-SA 4.0
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Sep 18, 2018 at 3:53 history asked user220802 CC BY-SA 4.0