 Rayleigh radius from Gaussian components

The joint probability density of $X,Y$ isIn polar coordinates, $x=r\cos \theta$, $y=r\sin \theta$, and the absolute Jacobian determinant is $r$. Thus the joint density of radius and angle factors asIntegrating over angle gives the Rayleigh distribution. The same factorization shows that the angle has uniform distribution and is independent of the radius. This is a short change of variables argument: an annulus of width $dr$ has area $2\pi rdr$ to first order.

The assumptions are substantive. Unequal component variances give elliptical rather than circular density contours; a nonzero mean displaces the center. Even zero covariance and equal normal distributions do not suffice without independence. For an original counterexample, let $X\sim N(0,{\sigma }^2)$ and let $S$ be an independent Rademacher random variable. Put $Y=SX$. Then $Y$ has the same normal distribution as $X$, and $\mathrm{Cov}(X,Y)=\mathbb{E}[S{X}^2]=0$. Nevertheless, all points lie on $y=x$ or $y=-x$, and $R=\sqrt{2}|X|$ has densitywhich is positive at zero, unlike the Rayleigh distribution. This pair is not a Gaussian random vector.