Summary
In this note the tail behaviour of the univariate skew-normal distribution is studied. It is shown, in particular, that the rate of decay to zero of the right and left tail probability are different, one being equal to the normal one and the other thinner. Asymptotic approximations for right and left tail probability are also given.
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References
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Capitanio, A. On the approximation of the tail probability of the scalar skew-normal distribution. METRON 68, 299–308 (2010). https://doi.org/10.1007/BF03263541
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DOI: https://doi.org/10.1007/BF03263541