rayleigh.qbk

Boost provides free peer-reviewed portable C++ source libraries. We emphasize libraries that work

[section:rayleigh Rayleigh Distribution]


``#include <boost/math/distributions/rayleigh.hpp>``

   namespace boost{ namespace math{ 
      
   template <class RealType = double, 
             class ``__Policy``   = ``__policy_class`` >
   class rayleigh_distribution;
   
   typedef rayleigh_distribution<> rayleigh;
   
   template <class RealType, class ``__Policy``>
   class rayleigh_distribution
   {
   public:
      typedef RealType value_type;
      typedef Policy   policy_type;
      // Construct:
      rayleigh_distribution(RealType sigma = 1)
      // Accessors:
      RealType sigma()const;
   };
   
   }} // namespaces
   
The [@http://en.wikipedia.org/wiki/Rayleigh_distribution Rayleigh distribution]
is a continuous distribution with the 
[@http://en.wikipedia.org/wiki/Probability_density_function probability density function]:

f(x; sigma) = x * exp(-x[super 2]/2 [sigma][super 2]) / [sigma][super 2]

For sigma parameter [sigma][space] > 0, and x > 0.

The Rayleigh distribution is often used where two orthogonal components
have an absolute value,
for example, wind velocity and direction may be combined to yield a wind speed,
or real and imaginary components may have absolute values that are Rayleigh distributed.

The following graph illustrates how the Probability density Function(pdf) varies with the shape parameter [sigma]:

[graph rayleigh_pdf]

and the Cumulative Distribution Function (cdf)

[graph rayleigh_cdf]

[h4 Related distributions]

The absolute value of two independent normal distributions X and Y, [radic] (X[super 2] + Y[super 2])
is a Rayleigh distribution.

The [@http://en.wikipedia.org/wiki/Chi_distribution Chi],
[@http://en.wikipedia.org/wiki/Rice_distribution Rice]
and [@http://en.wikipedia.org/wiki/Weibull_distribution Weibull] distributions are generalizations of the
[@http://en.wikipedia.org/wiki/Rayleigh_distribution Rayleigh distribution]. 

[h4 Member Functions]

   rayleigh_distribution(RealType sigma = 1);
   
Constructs a [@http://en.wikipedia.org/wiki/Rayleigh_distribution 
Rayleigh distribution] with [sigma] /sigma/.

Requires that the [sigma] parameter is greater than zero, 
otherwise calls __domain_error.

   RealType sigma()const;
   
Returns the /sigma/ parameter of this distribution.
   
[h4 Non-member Accessors]

All the [link math_toolkit.dist.dist_ref.nmp usual non-member accessor functions] that are generic to all
distributions are supported: __usual_accessors.

The domain of the random variable is \[0, max_value\].

[h4 Accuracy]

The Rayleigh distribution is implemented in terms of the 
standard library `sqrt` and `exp` and as such should have very low error rates.
Some constants such as skewness and kurtosis were calculated using
NTL RR type with 150-bit accuracy, about 50 decimal digits.

[h4 Implementation]

In the following table [sigma][space] is the sigma parameter of the distribution, 
/x/ is the random variate, /p/ is the probability and /q = 1-p/.

[table
[[Function][Implementation Notes]]
[[pdf][Using the relation: pdf = x * exp(-x[super 2])/2 [sigma][super 2] ]]
[[cdf][Using the relation: p = 1 - exp(-x[super 2]/2) [sigma][super 2][space] = -__expm1(-x[super 2]/2) [sigma][super 2]]]
[[cdf complement][Using the relation: q =  exp(-x[super 2]/ 2) * [sigma][super 2] ]]
[[quantile][Using the relation: x = sqrt(-2 * [sigma] [super 2]) * log(1 - p)) = sqrt(-2 * [sigma] [super 2]) * __log1p(-p))]]
[[quantile from the complement][Using the relation: x = sqrt(-2 * [sigma] [super 2]) * log(q)) ]]
[[mean][[sigma] * sqrt([pi]/2) ]]
[[variance][[sigma][super 2] * (4 - [pi]/2) ]]
[[mode][[sigma] ]]
[[skewness][Constant from [@http://mathworld.wolfram.com/RayleighDistribution.html Weisstein, Eric W. "Weibull Distribution." From MathWorld--A Wolfram Web Resource.] ]]
[[kurtosis][Constant from [@http://mathworld.wolfram.com/RayleighDistribution.html Weisstein, Eric W. "Weibull Distribution." From MathWorld--A Wolfram Web Resource.] ]]
[[kurtosis excess][Constant from [@http://mathworld.wolfram.com/RayleighDistribution.html Weisstein, Eric W. "Weibull Distribution." From MathWorld--A Wolfram Web Resource.] ]]
]

[h4 References]
* [@http://en.wikipedia.org/wiki/Rayleigh_distribution ]
* [@http://mathworld.wolfram.com/RayleighDistribution.html Weisstein, Eric W. "Rayleigh Distribution." From MathWorld--A Wolfram Web Resource.]

[endsect][/section:Rayleigh Rayleigh]

[/ 
  Copyright 2006 John Maddock and Paul A. Bristow.
  Distributed under the Boost Software License, Version 1.0.
  (See accompanying file LICENSE_1_0.txt or copy at
  http://www.boost.org/LICENSE_1_0.txt).
]