In
probability theory
Probability theory is the branch of mathematics concerned with probability. Although there are several different probability interpretations, probability theory treats the concept in a rigorous mathematical manner by expressing it through a set o ...
and
statistics, the Rayleigh distribution is a
continuous probability distribution for nonnegative-valued
random variable
A random variable (also called random quantity, aleatory variable, or stochastic variable) is a mathematical formalization of a quantity or object which depends on random events. It is a mapping or a function from possible outcomes (e.g., the p ...
s. Up to rescaling, it coincides with the
chi distribution
In probability theory and statistics, the chi distribution is a continuous probability distribution. It is the distribution of the positive square root of the sum of squares of a set of independent random variables each following a standard no ...
with two
degrees of freedom
Degrees of freedom (often abbreviated df or DOF) refers to the number of independent variables or parameters of a thermodynamic system. In various scientific fields, the word "freedom" is used to describe the limits to which physical movement or ...
.
The distribution is named after
Lord Rayleigh
John William Strutt, 3rd Baron Rayleigh, (; 12 November 1842 – 30 June 1919) was an English mathematician and physicist who made extensive contributions to science. He spent all of his academic career at the University of Cambridge. Amo ...
().
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
Wind is the natural movement of air or other gases relative to a planet's surface. Winds occur on a range of scales, from thunderstorm flows lasting tens of minutes, to local breezes generated by heating of land surfaces and lasting a few ...
velocity is analyzed in
two dimensions.
Assuming that each component is
uncorrelated
In probability theory and statistics, two real-valued random variables, X, Y, are said to be uncorrelated if their covariance, \operatorname ,Y= \operatorname Y- \operatorname \operatorname /math>, is zero. If two variables are uncorrelated, there ...
,
normally distributed
In statistics, a normal distribution or Gaussian distribution is a type of continuous probability distribution for a real-valued random variable. The general form of its probability density function is
:
f(x) = \frac e^
The parameter \mu is ...
with equal
variance
In probability theory and statistics, variance is the expectation of the squared deviation of a random variable from its population mean or sample mean. Variance is a measure of dispersion, meaning it is a measure of how far a set of number ...
, and zero
mean
There are several kinds of mean in mathematics, especially in statistics. Each mean serves to summarize a given group of data, often to better understand the overall value ( magnitude and sign) of a given data set.
For a data set, the '' ari ...
, then the overall wind speed (
vector
Vector most often refers to:
*Euclidean vector, a quantity with a magnitude and a direction
*Vector (epidemiology), an agent that carries and transmits an infectious pathogen into another living organism
Vector may also refer to:
Mathematic ...
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 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.
Definition
The
probability density function
In probability theory, a probability density function (PDF), or density of a continuous random variable, is a function whose value at any given sample (or point) in the sample space (the set of possible values taken by the random variable) c ...
of the Rayleigh distribution is
[Papoulis, Athanasios; Pillai, S. (2001) ''Probability, Random Variables and Stochastic Processes''. , ]
:
where
is the
scale parameter of the distribution. The
cumulative distribution function
In probability theory and statistics, the cumulative distribution function (CDF) of a real-valued random variable X, or just distribution function of X, evaluated at x, is the probability that X will take a value less than or equal to x.
Ev ...
is
[
:
for ]