mvnskewpdf

  MVNSKEWPDF - Multivariate normal skewed probability density function (pdf)
   Y=MVNSKEWPDF(X,MU,SIGMA,ALPHA) returns the probability density of the multivariate
   normal distribution with mean MU, covariance SIGMA, and skewness ALPHA, evaluated at
   each row of X. Rows of the N-by-D matrix X correspond to observations (or points), and 
   columns correspond to variables or coordinate. Y is an N by 1 vector.

   The multivariate skewed distribution is defined as in Azzalini and Dalla Valle (1996):

    For each value of x:
    MVNSKEWPDF(X,MU,SIGMA,ALPHA) = 2*MVNPDF(X, MU, SIGMA) * NORMCDF(ALPHA'*(X-MU))