Kotz S., Nadarajah S. Multivariate T-Distributions and Their Applications

Cambridge: Cambridge University Press, 2004. — 285 p.excellent comprehensive monograph on multivariate t distributions, with numerous references. this is the only book focusing exclusively on this topic that i'm aware of. similar in quality and depth to the "discrete/continuous univariate/multivariate distributions" series by Samuel Kotz, N. Balakrishnan, and Norman L. Johnson.Definition
Representations
Characterizations
A Closure Property
Density Expansions
Moments
Maximums
Marginal Distributions
Conditional Distributions
Quadratic Forms
Association
Entropy
Kullback-Leibler Number
Renyi Information
Identities
Some Special Cases
Sutradhar's Approach
Joarder and Ali's Approach
Levy Representation
Linear Combinations
Products
Ratios
Owen's Noncentral Bivariate t Distribution
Siddiqui's Noncentral Bivariate t Distribution
Patil and Liao's Noncentral Bivariate t Distribution
Krishnan's Noncentral Bivariate t Distribution
Krishnan's Doubly Noncentral Bivariate t Distribution
Bulgren et al's Bivariate t Distribution
Siotani's Noncentral Bivariate t Distribution
Tiku and Kambo's Bivariate t Distribution
Conditionally Specified Bivariate t Distribution
Jones' Bivariate t Distribution
Kshirsagar's Noncentral Multivariate t Distribution
Stepwise Multivariate t Distribution
Siotani's Noncentral Multivariate t Distribution
Arellano-Valle and Bolfarine's Generalized t Distribution
Fang et al's Asymmetric Multivariate t Distribution
Gupta's Skewed Multivariate t Distribution
Sahu et al's Skewed Multivariate t Distribution
Azzalini and Capitanio's Skewed Multivariate t Distribution
Jones' Skewed Multivariate t Distribution
Matrix-Variate t Distribution
Complex Multivariate t Distribution
Steyn's Nonnormal Distributions
Inverted Dirichlet Distribution
Dunnett and Sobel's Probability Integrals
Gupta and Sobel's Probability Integrals
John's Probability Integrals
Amos and Bulgren's Probability Integrals
Steffens' Noncentral Probabilities
Dutt's Probability Integrals
Amos' Probability Integral
Fujikoshi's Probability Integrals
Probabilities of Cone
Probabilities of Convex Polyhedra
Probabilities of Linear Inequalities
Maximum Probability Content
Monte Carlo Evaluation
Dunnett and Sobel's Probability Inequalities
Dunn's Probability Inequalities
Halperin's Probability Inequalities
Sidak's Probability Inequalities
Tong's Probability Inequalities
Dunnett and Sobel's Percentage Points
Krishnaiah and Armitage's Percentage Points
Rausch and Horn's Percentage Points
Siotani's Percentage Points
Graybill and Bowden's Percentage Points
Dunnett's Percentage Points
Gupta and Sobel's Percentage Points
Chen's Percentage Points
Dunnett and Tamhane's Percentage Points
Other Results
Wishart Matrix
Multivariate t Statistic
Hotelling's T Statistic
Entropy and Kullback-Leibler Number
Tiku and Kambo's Estimation Procedure
ML Estimation via EM Algorithm
Missing Data Imputation
Laplacian T-Approximation
Sutradhar's Score Test
Multivariate t Model
Generalized Multivariate t Model
Simulation
Classical Linear Model
Bayesian Linear Models
Indexed Linear Models
General Linear Model
Nonlinear Models
Projection Pursuit
Portfolio Optimization
Discriminant and Cluster Analysis
Multiple Decision Problems
Other Applications