What exactly does $X_1,...,X_n$ mean in $X_1,...,X_n \sim N_p(0,\Sigma)$ (iid) ?
I am confused, since what I imagine is that the variables $X_1,...,X_n$ are the columns of a dataset? But From the fact that $N_p$ has index $p$, there are only $p$ variables and hence columns.
So, are $X_1,...,X_n$ rows? Are they datasets each containing $p$ variables/columns?