I'm trying to figure out second moment of the following quantity $$y = \frac{\langle x_1, x_2 \rangle}{\left\|x_1\right\|\left\|x_2\right\|}$$ Where $x_1$, $x_2$ are sampled independently from $\mathcal{N}(0, \Sigma)$ This can be solved exactly in 2-dimensions using algebraic manipulation: suppose eigenvalues of $\Sigma$ are $a$ and $b$, then $$E[y^2] = \frac{a+b}{\left(\sqrt{a}+\sqrt{b}\right)^2}$$ Is there a similarly elegant expression for $n$ dimensions? (update, I extended this formula to eigenvalues $a,b,c$ "by analogy" and it seems to hold numerically)