An analytical study is presented of the covariance kernels of a damped, linear, two-degrees-of-freedom (2DOF) system which resembles a primary system that is provided with an auxiliary mass damper (AMD), in addition to an “inerter” (a device that imparts additional inertia to the vibration damper, hence magnifying its effectiveness without a significant damper mass addition). The coupled 2DOF system is subjected to nonstationary stochastic excitation consisting of a modulated white noise. An exponential function, resembling the envelope of a typical earthquake, is considered. Results of the analysis are used to determine the dependence of the peak transient mean-square response of the system on the damper/inerter tuning parameters, and the shape of the deterministic intensity function. It is shown that, under favorable dynamic environments, a properly designed auxiliary damper, encompassing an inerter with a sizable mass ratio, can significantly attenuate the response of the primary system to broad band excitations; however, the dimensionless “rise-time” of the nonstationary excitation substantially reduces the effectiveness of such a class of devices (even when optimally tuned) in attenuating the peak dynamic response of the primary system.