Lorentz Distribution

Contents
1. Orientation
2. Characterization
1. Probability density function
2. Cumulative distribution function
3. Properties
1. Why the mean is undefined?
2. Why the 2nd moment is infinite
4. Example
1. Orientation
Named after Augustin Cauchy and Hendrik Lorentz
Known as Cauchy Dist. or Lorentz Dist.
Usage
Solution to diff. eq. of forced resonance
In spectroscopy, collision broadening
2. Characterization
2.1 Probability density function

x0 : the location of the peak of the distribution

γ : the half-width at half-maximum (HWHM).
special case : x0 = 0 , γ = 1 -> standard Lorentz distribution
2. Characterization
2.2 Cumulative distribution function

 The cumulative distribution function is

 The inverse cumulative distribution

function of the Cauchy distribution is
3. Properties
mean, variance or higher moments : not defined
mode and median : x0
U, V ~N(0, 1) -> the ratio U/V has the standard Cauchy distribution.
X1, …, Xn : i.i.d. random variables, each with a standard Cauchy distribution ->
sample mean (X1 + … + Xn)/n : the same standard Cauchy distribution. ( the
sample median, which is not affected by extreme values, can be used as a
measure of central tendency).
The standard Cauchy distribution ~ t1
Characteristic Function :
3. Properties
Why the mean is undefined?

If a probability distribution has a density function , then the mean, is

given by

In the case of the Cauchy distribution, both the positive and negative terms of
(2) are infinite. This means (2) is undefined.
3. Properties
Why the 2nd moment is infinite?
impossible to consider the variance or standard deviation
But, the second moment about zero can be considered. It
turns out to be infinite :
4. Example
The distribution of horizontal distances at which a line segment tilted at a random angle cuts the
x-axis.
The End