A Bayesian interpretation of the multivariate skew-normal distribution

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The Skew‐normal Distribution and Related Multivariate Families * (2005, background): “The extension of this property to the multivariate case is studied by Liseo & Loperfido (2003b) and Liseo (2004).”
Skewed distributions in finance and actuarial science: a review (2015, background): “…as special cases several other generalizations of the skew-normal distribution, for example, the MSN distribution (Azzalini and Dalla Valle 1996), the MESN distribution (Arnold and Beaver 2000; Adcock and Shutes 2001), and the hierarchical skew-normal distribution (Liseo and Loperfido 2003).”
On the Unification of Families of Skew‐normal Distributions (2006, methodology): “Among these, we mention in particular: the closed skew-normal (CSN) of González-Farı́as et al. (2004), the hierarchical skew-normal (HSN) of Liseo & Loperfido (2003), the fundamental skew-normal (FUSN) of Arellano-Valle & Genton (2005), the multivariate skew-normal of Gupta et al. (2004), the…”
Additive properties of skew normal random vectors (2004, unknown): “Liseo and LoperDdo (2003) proposed the following density function: f(y; ; d; ; 7; C) =K p(y; ; + 7) k(0;C ( −1y + 7−1 ) + d; C C′) =K p(y; ; + 7) k [− C −1(y − );C + d; C C′]; (14) where K−1 = k(0;C + d; C7C′) and −1 = −1 + 7−1.”