More information on random vectors is available in nearly any probability textbook. Elementary exposition that avoids measure theory is available in most undergraduate probability textbooks, for example (Weiss, 2005) or (Dasgupta, 2010). A rigorous measure-theoretic description is available in (Breiman, 1992), (Billingsley, 1995), (Ash and Doleans-Dade, 1999), or (Resnick, 1999). Convolutions are usually described in detail in signal processing books, for example (Oppenheim et. al, 1996).