Statistics How To

Rayleigh Distribution: Definition, Uses, Mean, Variance

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What is the Rayleigh Distribution?

The Rayleigh distribution is a continuous probability distribution named after the English Lord Rayleigh. The distribution is widely used:

  • In communications theory, to model multiple paths of dense scattered signals reaching a receiver.
  • In the physical sciences to model wind speed, wave heights and sound/light radiation.
  • In engineering, to measure the lifetime of an object, where the lifetime depends on the object’s age. For example: resistors, transformers, and capacitors in aircraft radar sets.1
  • In medical imaging science, to model noise variance in magnetic resonance imaging.

The Rayleigh distribution is a special case of the Weibull distribution with a scale parameter of 2. When a Rayleigh is set with a shape parameter (σ) of 1, it is equal to a chi square distribution with 2 degrees of freedom.

The notation X Rayleigh(σ) means that the random variable X has a Rayleigh distribution with shape parameter σ. The probability density function (X > 0) is:
pdf


As the shape parameter increases, the distribution gets wider.

Rayleigh Distribution PDF

Rayleigh distribution showing several different shape parameters, σ.



Variance and Mean (Expected Value) of a Rayleigh Distribution

The expected value (the mean) of a Rayleigh distribution is:
EV


How this equation is derived involves solving an integral, using calculus:
The expected value of a probability distribution is:
E(x) = ∫ xf(x)dx.
Substituting in the Rayleigh probability density function, this becomes:
Rayleigh expected value


This Wolfram calculator will solve the integral for you, giving the Rayleigh expected value of σ √(π/2)

The variance of a Rayleigh dist is derived in a similar way, giving the variance formula of:
Var(x) = σ2((4 – π)/2).

Reference:
A 3-Component Mixture: Properties and Estimation in Bayesian Framework. Aslam et. al. Retrieved October 3, 2015. Available here.

If you prefer an online interactive environment to learn R and statistics, this free R Tutorial by Datacamp is a great way to get started. If you're are somewhat comfortable with R and are interested in going deeper into Statistics, try this Statistics with R track.

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Rayleigh Distribution: Definition, Uses, Mean, Variance was last modified: October 15th, 2017 by Andale

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