Multivariate Skew-Normal Distributions and their Extremal Properties
Rolf Waeber February 8, 2008 Abstract In this thesis it is established that the distribution is a skew normal dist.
A paper by Nadarajah and Samuel Kotz gives the expression for the max of any bivariate normal F(x,y). IEEE TRANSACTIONS ON VERY LARGE SCALE INTEGRATION (VLSI) SYSTEMS, VOL. 16, NO. 2, FEBRUARY 2008 Exact Distribution of the Max/Min of Two Gaussian Random Variables Saralees Nadarajah and Samuel Kotz If F(x,y) is a standard normal (means=0 and variances=1, r>0) the dist of the maximum is a skew normal.