I'm interested in multivariate probability distributions with different sub-distributions. Say I've collected two metrics in a population, and we then had a two dimensional probability distribution:
X1 ~ Normal(U, V) and X2 ~ Poi(Lambda)
Notice how these two variables come from different probability distributions. I've been having trouble finding reference material for multivariate analysis where the dimensions come from different distributions.
For example: the Wischart distribution works well when the variables all come from chi-square distributions. Does anyone have any reference material for probability distributions where the sub-distributions are not the same?