Y.L. Tong 
Multivariate Normal Distribution [PDF ebook] 

The multivariate normal distribution has played a predominant role in the historical development of statistical theory, and has made its appearance in various areas of applications. Although many of the results concerning the multivariate normal distribution are classical, there are important new results which have been reported recently in the literature but cannot be found in most books on multivariate analysis. These results are often obtained by showing that the multivariate normal density function belongs to certain large families of density functions. Thus, useful properties of such families immedi- ately hold for the multivariate normal distribution. This book attempts to provide a comprehensive and coherent treatment of the classical and new results related to the multivariate normal distribution. The material is organized in a unified modern approach, and the main themes are dependence, probability inequalities, and their roles in theory and applica- tions. Some general properties of a multivariate normal density function are discussed, and results that follow from these properties are reviewed exten- sively. The coverage is, to some extent, a matter of taste and is not intended to be exhaustive, thus more attention is focused on a systematic presentation of results rather than on a complete listing of them.