This is the right answer.<p>Quite a lot of things are not normally distributed. Often this is because there&#x27;s more than one generating mechanism. For instance you may have a financial market where normally things go up and down smoothly, people are reacting to news as normal. But then there are also panics, where people are not behaving normally.<p>There&#x27;s also cases where the past influences the future, and drawings are not identically and independently distributed (though Wikipedia tells me there&#x27;s weak variants of the CLT).