An Isserlis’ Theorem for Mixed Gaussian Variables: Application to the Auto-Bispectral Density

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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Bibliographische Detailangaben
Veröffentlicht in:	Journal of statistical physics 2009-07, Vol.136 (1), p.89-102
Hauptverfasser:	Michalowicz, J. V., Nichols, J. M., Bucholtz, F., Olson, C. C.
Format:	Artikel
Sprache:	eng
Schlagworte:	Mathematical and Computational Physics Physical Chemistry Physics Physics and Astronomy Quantum Physics Statistical Physics and Dynamical Systems Theoretical
Online-Zugang:	Volltext
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Beschreibung
Zusammenfassung:	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.
ISSN:	0022-4715 1572-9613
DOI:	10.1007/s10955-009-9768-3