Abstract
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.
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C.C. Olson is a NRC Postdoctoral Research Associate.
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Michalowicz, J.V., Nichols, J.M., Bucholtz, F. et al. An Isserlis’ Theorem for Mixed Gaussian Variables: Application to the Auto-Bispectral Density. J Stat Phys 136, 89–102 (2009). https://doi.org/10.1007/s10955-009-9768-3
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DOI: https://doi.org/10.1007/s10955-009-9768-3