Given two multi-variate gaussians distrubtions, given by mean & covariance, G1(m1,sigma1) & G2(m2,sigma2), what are the formulae to find the product i.e G1 * G2 ? And if one was looking to implement this in c++, what would an efficient way of doing it?
Go easy, I am primarily a computer scientist and not a pure mathematician.
Any help much appreciated.