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Ray Leigh Exponential

distribution function

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Pavitra pathak
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28 views

Ray Leigh Exponential

distribution function

Uploaded by

Pavitra pathak
Copyright
© © All Rights Reserved
We take content rights seriously. If you suspect this is your content, claim it here.
Available Formats
Download as PDF, TXT or read online on Scribd
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Theorem The square of a Rayleigh(α) random variable is an exponential(α) random vari-

able.
Proof Let the random variable X have the Rayleigh distribution with probability density
function
2x −x2 /α
fX (x) = e x > 0,
α
for α > 0. The transformation Y = g(X) = X 2 is a 1–1 transformation from X = {x | x > 0}
√
to Y = {y | y > 0} with inverse X = g −1 (Y ) = y and Jacobian

dX 1
= √ .
dY 2 Y
Therefore by the transformation technique, the probability density function of Y is

dx
fY (y) = fX (g −1 (y))

dy
√
2 y −√y2 /α 1
= e √
2 y
α
1 −y/α
= e y > 0,
α
which is the probability density function of the exponential distribution.
APPL verification: The APPL statements

assume(alpha > 0);


X := [[x -> 2 * x / alpha * exp(-x ^ 2 / alpha)], [0, infinity],
["Continuous", "PDF"]];
g := [[x -> x ^ 2], [0, infinity]];
Y := Transform(X, g);

yields the functional form


1 −y/α
fY (y) = e y>0
α
for the random variable Y .

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