Link to Azzalini's web page about the Skew Normal distribution:

http://azzalini.stat.unipd.it/SN/


Cut and paste these into Maple to create the S.N. PDF "f":

phi:=x->exp(-x^2/2)/sqrt(2*Pi): Phi:=x->int(phi(t),t=-infinity..x);
phi2 := (rho,x)->1/2*exp(-1/2*(x[1]^2-2*x[1]*x[2]*rho+x[2]^2)/(1-rho^2))/Pi/(1-rho^2)^(1/2);
f:=(rho,alpha,x)->2*phi2(rho,x)*Phi(alpha[1]*x[1]+alpha[2]*x[2]):