An example showing that the sum of two normal random variables may not be normal.

Two novel proofs show that the sum of a specific pair of normal random variables is not normal are established in this note. This is one of the most often misunderstood facts by first-year students in probability theory and statistics. The first proof is concise using the moment generating function. The second proof checks whether the moments of the sum have the property of normal distribution. [ABSTRACT FROM AUTHOR]