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An Isserlis’ Theorem for Mixed Gaussian Variables: Application to the Auto-Bispectral Density |
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| Authors: | J V Michalowicz J M Nichols F Bucholtz and C C Olson |
| Institution: | (1) Optical Science Division, U.S. Naval Research Laboratory, 4555 Overlook Ave. SW, Washington, DC 20375, USA;(2) SFA, Inc., Crofton, MD, USA |
| 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. C.C. Olson is a NRC Postdoctoral Research Associate. |
| Keywords: | Isserlis’ theorem Wick’ s theorem Mixed-Gaussian distribution Auto-bispectral density |
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