Past exam of the mathematics course of the year 1 of the natural sciences course of the University of Cambridge / 2014 / Paper 2 / 11 / b

Normalize the Rayleigh distribution by substituting $s=x^2/(2{\sigma }^2)$:For its sketch, the density starts at zero, is positive for $x>0$, and tends to zero at infinity. Differentiation givesIt therefore has a single maximum at $x=\sigma$, with height $e^{-1/2}/\sigma$.

The expected value isIntegrating by parts with $xdx{e}^{-x^2/(2{\sigma }^2)}=-{\sigma }^{2}d(e^{-x^2/(2{\sigma }^2)})$ makes the boundary term vanish and leaves ${\int }_0^{\infty }{e}^{-x^2/(2{\sigma }^2)}dx$. The Gaussian integral gives