Theorem If X1 and X2 are independent standard normal random variables, then Y = X1 /X2

has the standard Cauchy distribution.

Proof Let X1 and X2 be independent standard normal random variables. We can write
their probability density functions as
2
e−x1 /2
fX1 (x1 ) = √ − ∞ < x1 < ∞
2π
and 2
e−x2 /2
fX2 (x2 ) = √ − ∞ < x2 < ∞.
2π
Since X1 and X2 are independent, the joint probability density function of X1 and X2 is
2 2
e−(x1 +x2 )/2
fX1 ,X2 (x1 , x2 ) = − ∞ < x1 < ∞, −∞ < x2 < ∞.
2π
Consider the 2 × 2 transformation
X1
Y1 = g1 (X1 , X2 ) = and Y2 = g2 (X1 , X2 ) = X2
X2
which is a 1–1 transformation from X = {(x1 , x2 ) | − ∞ < x1 < ∞, −∞ < x2 < ∞} to
Y = {(y1 , y2 ) | − ∞ < y1 < ∞, −∞ < y2 < ∞} with inverses
X1 = g1−1 (Y1 , Y2 ) = Y1 Y2 and X2 = g2−1 (Y1 , Y2 ) = Y2
and Jacobian  
 Y Y1
 2

J =   = Y2 .

0 1 

Therefore, by the transformation technique, the joint probability density function of Y1 and
Y2 is
 
fY1 ,Y2 (y1 , y2 ) = fX1 ,X2 g1−1 (y1 , y2 ), g2−1 (y1 , y2 ) |J|
2 2 2
e−(y1 y2 +y2 )/2
= |y2 |
2π
2 2
y2 e−y2 (y1 +1)/2
= − ∞ < y1 < ∞, −∞ < y2 < ∞.
2π
Using integration by parts, the probability density function of Y1 is
Z ∞
fY1 (y1 ) = fY1 ,Y2 (y1 , y2 ) dy2
−∞
1 Z∞ 2 2
= y2 e−y2 (y1 +1)/2 dy2
2π −∞
1
= 2
− ∞ < y1 < ∞,
π(y1 + 1)
which is the probability density function of a standard Cauchy random variable.

1
APPL verification: The APPL statements

X1 := NormalRV(0, 1);
X2 := NormalRV(0, 1);
g := [[x -> 1 / x, x -> 1 / x], [-infinity, 0, infinity]];
Y := Transform(X2, g);
Product(X1, Y);

produce the probability density function of a Cauchy random variable.