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  • $\begingroup$ Sampling from user defined multivariate distributions isn't implemented. You will need to somehow use built in distributions or define your own method for sampling. $\endgroup$ Commented Jul 30, 2015 at 18:04
  • $\begingroup$ In general it is. I defined a sinh-arcsinh distribution (univariate though) and it works with no problems. Also, a mixture of binormal distributions works (even with the FingDistributionParameters, which I also want to perform for a mixture of binormal skew distributions as defined in my post). $\endgroup$ Commented Jul 30, 2015 at 18:09
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    $\begingroup$ Univariate is generally easy because one can use the inverse cdf if all else fails. Multivariate will probably never be implemented in full generality. Also, pretty much everything exists in closed form for multivariate normals so special case code exists for those. $\endgroup$ Commented Jul 30, 2015 at 18:14
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    $\begingroup$ The Plot3D example doesn't work because the probability distribution needs to be pre-evaluated. Try adding an Evaluate in your code for SN. As for the random variates, you are still probably going to have to create your own method. $\endgroup$ Commented Jul 30, 2015 at 18:32
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    $\begingroup$ It looks like your definition is a special case of "A multivariate skew normal distribution" (sciencedirect.com/science/article/pii/S0047259X03001313). And biomet.oxfordjournals.org/content/83/4/715.full.pdf+html pre-dates that article. $\endgroup$ Commented Nov 12, 2016 at 22:05