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Tables. Commonly Used Notation. 1. The Multivariate Normal and Related Distributions. 2. Jacobians, Exterior Products, Kronecker Products, and Related Topics. 3. Samples from a Multivariate Normal Distribution, and the Wishart and Multivariate BETA Distributions. 4. Some Results Concerning Decision-Theoretic Estimation of the Parameters of a Multivariate Normal Distribution. 5. Correlation Coefficients. 6. Invariant Tests and Some Applications. 7. Zonal Polynomials and Some Functions of Matrix Argument. 8. Some Standard Tests on Covariance Matrices and Mean Vectors. 9. Principal Components and Related Topics. 10. The Multivariate Linear Model. 11. Testing Independence Between k Sets of Variables and Canonical Correlation Analysis. Appendix: Some Matrix Theory. Bibliography. Index.
Gleser et al. (Tue,) studied this question.