Burke, Sir John Bernard, Genealogical and Heraldic History of the Peerage Baronetage and Knightage. 99th edition. London: Burke's Peerage, 1949. Available at http://archive.org/details/burkesgenealogic1949unse. Information from this source tagged as [Ref: Burke Peerage [cx0-9]*].
Sources for birth and parent Information
grandfather:
John GREVILLE [Ref: Burke Peerage p2076]
Research Notes:
of Milcote [Ref: Burke Peerage p2076]
assumed the name of COCKSEY, upon inheriting the estates of his
grandmother's family [Ref: Burke Peerage p2076]