Azzalini & Dalla Valle (1996) have recently discussed the multivariate
skew-normal distribution which extends the class of normal distributions by the
addition of a shape parameter. The first part of the present paper examines
further probabilistic properties of the distribution, with special emphasis on
aspects of statistical relevance. Inferential and other statistical issues are
discussed in the following part, with applications to some multivariate
statistics problems, illustrated by numerical examples. Finally, a further
extension is described which introduces a skewing factor of an elliptical
density.Comment: full-length version of the published paper, 32 pages, with 7 figures,
uses psfra