An Isserlis’ Theorem for Mixed Gaussian Variables: Application to the Auto-Bispectral Density
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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.
KeywordsIsserlis’ theorem Wick’s theorem Mixed-Gaussian distribution Auto-bispectral density
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