Allow skew normal to have correlated residuals

[bachlaw]

Is there any appetite for letting the skew normal distribution become one of those allowed to model correlated residuals? Anything beyond the normal admittedly increases complexity, but the skew normal of course is the normal distribution with an added skew parameter. As such, it in theory would still be manageable and reasonably fast to sample, in addition to now being able to correlate with more common normally distributed variables as well.

[paul-buerkner]

Does Stan already have a multivariate skew normal distribution implemented? This would of course simplify the brms implementation a lot.

[bachlaw]

Definitely would help. Unfortunately it does not, which I guess is not surprising.

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