Suppose that the random variables X and y are independent of each other and obey the normal distribution n (0, σ ^ 2), and calculate the probability density of Z = (x ^ 2 + y ^ 2) ^ 0.5

Suppose that the random variables X and y are independent of each other and obey the normal distribution n (0, σ ^ 2), and calculate the probability density of Z = (x ^ 2 + y ^ 2) ^ 0.5

The distribution of Z is called Rayleigh distribution
f(x,y)=[1/(2πσ^2)]*e^-[(x^2+y^2)/2σ^2]
When z = 0, we have:
F (z) = ∫∫ f (x, y) DXDY, where the integral domain is x ^ 2 + y ^ 2