Cauchy Distribution

BY DR. GARGI TYAGI

 Cauchy Distribution
A random variable 𝑌 is said to have a Cauchy distribution with parameters 𝝀 and 𝝁 has the p.d.f.
𝜆
𝑔𝑌 𝑦 = ; −∞ < 𝑦 < ∞; 𝜆 > 0
𝜋 𝜆2 + (𝑦 − 𝜇)2
And we write 𝑌 ∼ 𝐶 𝜆, 𝜇 .

A random variable 𝑋 is said to have a standard Cauchy distribution if its p.d.f. is given by:
1
𝑓𝑋 𝑥 = ; −∞ < 𝑥 < ∞
𝜋 1 + 𝑥2
And 𝑋 is termed as standard Cauchy variate.
𝑌−𝜇
If 𝑌 ∼ 𝐶(𝜆, 𝜇), then 𝑋 = ∼ 𝐶(1,0).
𝜆

• Cauchy distribution, (named after Augustin Cauchy)

• Also known, especially among physicists, as the Lorentz distribution (after Hendrik Lorentz),
• Cauchy–Lorentz distribution.

BY DR. GARGI TYAGI

 Cauchy Distribution
Characteristic Function

Let 𝑋 be a standard Cauchy distribution, then its Consider standard Laplace distribution
p.d.f. is given by: 1 −𝑧
1 𝑓1 𝑧 = 𝑒 , −∞ < 𝑧 < ∞
2
𝑓𝑋 𝑥 = 2
; −∞ < 𝑥 < ∞
𝜋 1+𝑥 The characteristic function
∞
Characteristic Function: 1
∞
𝜙1 𝑡 = 𝜙𝑍 𝑡 = 𝐸 𝑒 𝑖𝑡𝑍 = න 𝑒 𝑖𝑡𝑧 𝑓1 𝑧 𝑑𝑧 = .
1 −∞ 1 + 𝑡2
𝜙𝑋 𝑡 = 𝐸 𝑒 𝑖𝑡𝑋 =න 𝑒 𝑖𝑡𝑥 𝑑𝑥
−∞ 𝜋(1 + 𝑥 2 ) Since 𝜙1 𝑡 is absolutely integrable in (−∞, ∞), we have by
Inversion theorem
𝜙𝑋 𝑡 = 𝑒 − 𝑡
1 ∞ 𝑖𝑡𝑧
𝑓1 𝑧 = න 𝑒 𝜙1 𝑡 𝑑𝑡
Let 𝑌 ∼ 𝐶(𝜆, 𝜇) 2𝜋 −∞

The characteristic function 1 −𝑧 1 ∞ 𝑖𝑡𝑧 1

𝑒 = න 𝑒 𝑑𝑡
2 2𝜋 −∞ 1 + 𝑡2
𝜙𝑌 𝑡 = 𝜙𝜆+𝜇𝑋 𝑡 = 𝑒 𝑖𝜇𝑡 − 𝜆 𝑡 , 𝜆 > 0

BY DR. GARGI TYAGI

 Cauchy Distribution
Additive Property

If 𝑋1 and 𝑋2 are independent Cauchy variates with parameters (𝜆1 , 𝜇1 ) and 𝜆2 , 𝜇2 respectively, then
𝑋1 + 𝑋2 is a Cauchy variate with parameters 𝜆1 + 𝜆2 , 𝜇1 + 𝜇2 .

𝑋 ∼ 𝐶(𝜆, 𝜇)
The characteristic function
𝜙𝑋 𝑡 = 𝑒 𝑖𝜇𝑡 − 𝜆 𝑡 , 𝜆 > 0

BY DR. GARGI TYAGI

 Cauchy Distribution
Moments of the Distribution

𝑋 ∼ 𝐿 𝜆, 𝜇
1
𝑓 𝑥 = , −∞ < 𝑥 < ∞, 𝜆 > 0,
𝜋 𝜆2 + 𝑥−𝜇 2

∞ 1
𝐸 𝑋 = ‫𝑥 ∞׬‬ 𝑑𝑥
𝜋 𝜆2 + 𝑥−𝜇 2

1 ∞ 𝑧
𝐸 𝑋 = 𝜇 + ‫∞׬‬ 𝑑𝑧
𝜋 𝜆2 +𝑧 2
∞ 𝑧
‫∞׬‬ 𝑑𝑧 is not completely convergent.
𝜆2 +𝑧 2

In general, mean of Cauchy distribution does not exist.

Similarly, other moments also do not exist.
Conventionally, we can assume the mean is located at 𝑥 = 𝜇.

BY DR. GARGI TYAGI

 Cauchy Distribution

Let us consider a roulette wheel in which the probability of the pointer stopping at any part of the
circumference is constant.
𝜋 𝜋
In other words, the probability that any value of 𝜃 lies in the interval − , is constant and consequently
2 2

𝜋 𝜋
𝜃 is a rectangular variate in the range − , with probability differential given by:
2 2

1 𝜋 𝜋
𝑑𝑃 𝜃 = 𝑑𝜃, − ≤ 𝜃 ≤
𝜋 2 2
Let us transform 𝜃 into 𝑋 as follows:
𝑥 = 𝑟 tan 𝜃
1
𝑓 𝑥 = , −∞ < 𝑥 < ∞
𝜋 1+𝑥 2

BY DR. GARGI TYAGI

 Cauchy Distribution
1 𝜋 𝜋
𝑑𝑃 𝜃 = 𝑑𝜃, − ≤ 𝜃 ≤
𝜋 2 2

Let us transform 𝜃 into 𝑋 as follows:

𝑥 = 𝑟 tan 𝜃
1
𝑓 𝑥 = , −∞ < 𝑥 < ∞
𝜋 1+𝑥 2

BY DR. GARGI TYAGI

Bell Curve vs Cauchy Distribution

BY DR. GARGI TYAGI

Thank You
BY DR. GARGI TYAGI