According to the Rayleigh's criterion, the intensity of scattered light is inversely proportional to the fourth power of the wavelength if the size of the scatterers are of the order of the wavelength of light.
However, this criterion is not applicable fog, rain and snow. The size of the scattering particles in these situations are much larger thatn the wavelength of visible light. So the scattering or penetration of all the colors will be the same. However, the blue and violet wavelengths are difficult for the human visual system to process. Also blue-violet range caries more glare. Thus fog light is made by filteting out blue-violet from white light and is calle selective yellow. This improves the vision acuity in fog.