Multivariate Skew-Normal Distributions and
their Extremal Properties
February 8, 2008
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
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.