I am looking for multivariate case of a distribution of a product of two normally distributed variables X and Y. The variables are independent. Something similar to this:
http://mathworld.wolfram.com/NormalProductDistribution.html
Except:
- Both X and Y are vectors and Gaussians are multivariate $N(\mu_x,\Sigma_x)$ and $N(\mu_y,\Sigma_y)$
- Both distributions have non-zero respective means $\mu_x$ and $\mu_y$