Rayleigh distribution

In probability theory and statistics, the Rayleigh

distribution is a continuous probability distribution Rayleigh
for nonnegative-valued random variables. Up to Probability density function
rescaling, it coincides with the chi distribution with
two degrees of freedom.

A Rayleigh distribution is often observed when the

overall magnitude of a vector is related to its
directional components. One example where the
Rayleigh distribution naturally arises is when wind
velocity is analyzed in two dimensions. Assuming
that each component is uncorrelated, normally
distributed with equal variance, and zero mean,
then the overall wind speed (vector magnitude) will
be characterized by a Rayleigh distribution. A
second example of the distribution arises in the case
of random complex numbers whose real and Cumulative distribution function
imaginary components are independently and
identically distributed Gaussian with equal variance
and zero mean. In that case, the absolute value of
the complex number is Rayleigh-distributed.

The distribution is named after Lord Rayleigh

(/ˈreɪli/).[1]

Contents
Definition
Relation to random vector length
Parameters scale:
Properties
Differential entropy Support

Parameter estimation PDF

Confidence intervals
CDF
Generating random variates
Quantile
Related distributions
Applications Mean

See also
Median
References
Mode

Definition Variance
The probability density function of the Rayleigh Skewness
distribution is[2]
Ex. kurtosis

Entropy
where is the scale parameter of the distribution.
The cumulative distribution function is[2]
MGF

CF
for

Relation to random vector length

Consider the two-dimensional vector which has components that are bivariate normally
distributed, centered at zero, and independent. Then and have density functions

Let be the length of . That is, Then has cumulative distribution function

where is the disk

Writing the double integral in polar coordinates, it becomes

Finally, the probability density function for is the derivative of its cumulative distribution function, which
by the fundamental theorem of calculus is

which is the Rayleigh distribution. It is straightforward to generalize to vectors of dimension other than 2.
There are also generalizations when the components have unequal variance or correlations (Hoyt
distribution), or when the vector Y follows a bivariate Student t-distribution.[3]

Generalization to bivariate Student's t-distribution

 Suppose is a random vector with components that follows a multivariate t-distribution.
If the components both have mean zero, equal variance, and are independent, the bivariate
Student's-t distribution takes the form:

Let be the magnitude of . Then the cumulative distribution function (CDF)

of the magnitude is:

where is the disk defined by:

Converting to polar coordinates leads to the CDF becoming:

Finally, the probability density function (PDF) of the magnitude may be derived:

In the limit as , the Rayleigh distribution is recovered because:

Properties
The raw moments are given by:

where is the gamma function.

The mean of a Rayleigh random variable is thus :

The standard deviation of a Rayleigh random variable is:

The variance of a Rayleigh random variable is :

The mode is and the maximum pdf is

The skewness is given by:

The excess kurtosis is given by:

The characteristic function is given by:

where is the imaginary error function. The moment generating function is given by

where is the error function.

Differential entropy

The differential entropy is given by

where is the Euler–Mascheroni constant.

Parameter estimation
Given a sample of N independent and identically distributed Rayleigh random variables with parameter
,

is the maximum likelihood estimate and also is unbiased.

is a biased estimator that can be corrected via the formula

[4]

Confidence intervals

To find the (1 − α) confidence interval, first find the bounds where:

then the scale parameter will fall within the bounds

[5]

Generating random variates

Given a random variate U drawn from the uniform distribution in the interval (0, 1), then the variate

has a Rayleigh distribution with parameter . This is obtained by applying the inverse transform sampling-
method.

Related distributions
is Rayleigh distributed if , where and
[6]
are independent normal random variables. (This gives motivation to the use
of the symbol "sigma" in the above parametrization of the Rayleigh density.)

The magnitude of a standard complex normally distributed variable z will have the
Rayleigh distribution.

The chi distribution with v = 2 is equivalent to the Rayleigh Distribution with σ = 1.

If , then has a chi-squared distribution with parameter , degrees of

freedom, equal to two (N = 2)
 If , then has a gamma distribution with parameters and

The Rice distribution is a noncentral generalization of the Rayleigh distribution:

.
The Weibull distribution with the "shape parameter" k=2 yields a Rayleigh distribution. Then
the Rayleigh distribution parameter is related to the Weibull scale parameter according to

The Maxwell–Boltzmann distribution describes the magnitude of a normal vector in three

dimensions.
If has an exponential distribution , then

The half-normal distribution is the univariate special case of the Rayleigh distribution.

Applications
An application of the estimation of σ can be found in magnetic resonance imaging (MRI). As MRI images
are recorded as complex images but most often viewed as magnitude images, the background data is
Rayleigh distributed. Hence, the above formula can be used to estimate the noise variance in an MRI image
from background data.[7] [8]

The Rayleigh distribution was also employed in the field of nutrition for linking dietary nutrient levels and
human and animal responses. In this way, the parameter σ may be used to calculate nutrient response
relationship.[9]

In the field of ballistics, the Rayleigh distribution is used for calculating the circular error probable - a
measure of a weapon's precision.

In physical oceanography, the significant wave height may be derived analytically, since the distribution of
wave heights approximately follows a Rayleigh distribution.[10]

See also
Rayleigh fading
Rayleigh mixture distribution
Circular error probable

References
1. "The Wave Theory of Light", Encyclopedic Britannica 1888; "The Problem of the Random
Walk", Nature 1905 vol.72 p.318
 2. Papoulis, Athanasios; Pillai, S. (2001) Probability, Random Variables and Stochastic
Processes. ISBN 0073660116, ISBN 9780073660110
3. Röver, C. (2011). "Student-t based filter for robust signal detection". Physical Review D. 84
(12): 122004. arXiv:1109.0442 (https://arxiv.org/abs/1109.0442).
Bibcode:2011PhRvD..84l2004R (https://ui.adsabs.harvard.edu/abs/2011PhRvD..84l2004R).
doi:10.1103/physrevd.84.122004 (https://doi.org/10.1103%2Fphysrevd.84.122004).
4. Siddiqui, M. M. (1964) "Statistical inference for Rayleigh distributions", The Journal of
Research of the National Bureau of Standards, Sec. D: Radio Science, Vol. 68D, No. 9, p.
1007 (https://archive.org/details/jresv68Dn9p1005)
5. Siddiqui, M. M. (1961) "Some Problems Connected With Rayleigh Distributions", The
Journal of Research of the National Bureau of Standards; Sec. D: Radio Propagation, Vol.
66D, No. 2, p. 169 (http://nvlpubs.nist.gov/nistpubs/jres/66D/jresv66Dn2p167_A1b.pdf)
6. Hogema, Jeroen (2005) "Shot group statistics" (https://web.archive.org/web/2013110523214
6/http://home.kpn.nl/jhhogema1966/skeetn/ballist/sgs/sgs.htm#_Toc96439743)
7. Sijbers, J.; den Dekker, A. J.; Raman, E.; Van Dyck, D. (1999). "Parameter estimation from
magnitude MR images". International Journal of Imaging Systems and Technology. 10 (2):
109–114. CiteSeerX 10.1.1.18.1228 (https://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.
1.1.18.1228). doi:10.1002/(sici)1098-1098(1999)10:2<109::aid-ima2>3.0.co;2-r (https://doi.or
g/10.1002%2F%28sici%291098-1098%281999%2910%3A2%3C109%3A%3Aaid-ima2%3
E3.0.co%3B2-r).
8. den Dekker, A. J.; Sijbers, J. (2014). "Data distributions in magnetic resonance images: a
review". Physica Medica. 30 (7): 725–741. doi:10.1016/j.ejmp.2014.05.002 (https://doi.org/1
0.1016%2Fj.ejmp.2014.05.002). PMID 25059432 (https://pubmed.ncbi.nlm.nih.gov/2505943
2).
9. Ahmadi, Hamed (2017-11-21). "A mathematical function for the description of nutrient-
response curve" (https://www.ncbi.nlm.nih.gov/pmc/articles/PMC5697816). PLOS ONE. 12
(11): e0187292. Bibcode:2017PLoSO..1287292A (https://ui.adsabs.harvard.edu/abs/2017P
LoSO..1287292A). doi:10.1371/journal.pone.0187292 (https://doi.org/10.1371%2Fjournal.po
ne.0187292). ISSN 1932-6203 (https://www.worldcat.org/issn/1932-6203). PMC 5697816 (ht
tps://www.ncbi.nlm.nih.gov/pmc/articles/PMC5697816). PMID 29161271 (https://pubmed.nc
bi.nlm.nih.gov/29161271).
10. "Rayleigh Probability Distribution Applied to Random Wave Heights" (https://www.usna.edu/
NAOE/_files/documents/Courses/EN330/Rayleigh-Probability-Distribution-Applied-to-Rand
om-Wave-Heights.pdf) (PDF). United States Naval Academy.

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