An Isserlis’ Theorem for Mixed Gaussian Variables: Application to the Auto-Bispectral Density
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- Michalowicz, J.V., Nichols, J.M., Bucholtz, F. et al. J Stat Phys (2009) 136: 89. doi:10.1007/s10955-009-9768-3
This work derives a version of Isserlis’ theorem for the specific case of four mixed-Gaussian random variables. The theorem is then used to derive an expression for the auto-bispectral density for quadratically nonlinear systems driven with mixed-Gaussian iid noise.