Bayesian closed-skew Gaussian inversion is defined as a generalization of traditional Bayesian Gaussian inversion, which is used frequently in seismic amplitude-versus-offset (AVO) inversion. The new model captures skewness in the variables of interest; hence, the posterior model for log-transformed elastic material properties given seismic AVO data might be a skew probability density function. The model is analytically tractable, and this makes it applicable in high-dimensional 3D inversion problems. Assessment of the posterior models in high dimensions requires numerical approximations, however. The Bayesian closed-skew Gaussian inversion approach has been applied on real elastic material properties from a well in the Sleipner field in the North Sea. A comparison with results from traditional Bayesian Gaussian inversion shows that the mean square error of predictions of P-wave and S-wave velocities are reduced by a factor of two, although somewhat less for density predictions.