Can we have multiple value selection in parameter?

Not with a standard parameter. A parameter holds a single value at a time, which is one of its defining limitations.

When you need multi-select, the usual answers are a filter, which is natively multi-select, or a set, which classifies members as In or Out and can be driven by a set action from a dashboard.

There are workarounds where a parameter is genuinely required — a string parameter holding a delimited list, unpacked with `CONTAINS` in a calculation, is the common one. It works but is fragile, and worth mentioning as a workaround rather than a feature.

Set actions have made this much less necessary than it used to be, since they let a user select several marks on a dashboard and drive a calculation from the result.