An Isserlis' theorem for mixed Gaussian variables: Application to the auto-bispectral density
This paper deals with a version of Isserlis theorem for specific case of four mixed-Gaussian random variables. Isserlis theorem can be used to relate the expectation of products of even numbers of normalized, jointly Gaussian random variables to the sum of averages of products of pairs of these 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.
scientific article; zbMATH DE number 5602575