Adding skew normal random variable #1149

Background

What is your motivation?

Skew normal distribution is a variant of the normal distribution that allows a preference to some side of the mode. It has many applications and it is a very simple variant to work with. Personally, I used it in a biological model and implemented the sampling method to do some Monte Carlo computations.

What type of application is this?

Numerical simulation

Feature request

I would like to add SkewNormal to the rand_distr crate. This would implement Distribution<F> where F:Float, just as Normal does.

As for the sampling algorithm, I propose to follow this paper. The method is simple, but there is no benchmark against other algorithms. That would be a reason to choose another algorithm. Other algorithms might have performance issues in extreme parameters.

I volunteer to make a PR. I wanted to ask first about it.