Cauchy distribution

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Cauchy-Lorentz
Probability density function The green line is the standard Cauchy distribution
Cumulative distribution function Colors match the pdf above
Parameters	$x_0\!$ location (real) $\gamma > 0\!$ scale (real)
Support	$x \in (-\infty; +\infty)\!$
Probability density function (pdf)	$\frac{1}{\pi\gamma\,\left[1 + \left(\frac{x-x_0}{\gamma}\right)^2\right]} \!$
Cumulative distribution function (cdf)	$\frac{1}{\pi} \arctan\left(\frac{x-x_0}{\gamma}\right)+\frac{1}{2}$
Mean	(not defined)
Median	$x 0$
Mode	$x 0$
Variance	(not defined)
Skewness	(not defined)
Excess Kurtosis	(not defined)
Entropy	$\ln(4\,\pi\,\gamma)\!$
mgf	(not defined)
Char. func.	$\exp(x_0\,i\,t-\gamma\,\|t\|)\!$

The Cauchy-Lorentz distribution, named after Augustin Cauchy and Hendrik Lorentz, is a continuous probability distribution with probability density function

$f(x; x_0,\gamma) = \frac{1}{\pi\gamma \left[1 + \left(\frac{x-x_0}{\gamma}\right)^2\right]} \!$

$= { 1 \over \pi } \left[ { \gamma \over (x - x_0)^2 + \gamma^2 } \right] \!$

where x₀ is the location parameter, specifying the location of the peak of the distribution, and γ is the scale parameter which specifies the half-width at half-maximum (HWHM).

As a probability distribution, it is known as the Cauchy distribution while among physicists it is known as the Lorentz distribution or the Breit-Wigner distribution. Its importance in physics is largely due to the fact that it is the solution to the differential equation describing forced resonance. In spectroscopy it is the description of the line shape of spectral lines which are broadened by many mechanisms including resonance broadening. The statistical term Cauchy distribution will be used in the following discussion.

The special case when x₀ = 0 and γ = 1 is called the standard Cauchy distribution with the probability density function

$f(x; 0,1) = \frac{1}{\pi (1 + x^2)}. \!$

1 Properties
2 Why the mean of the Cauchy distribution is undefined
3 Why the second moment of the Cauchy distribution is infinite
4 Relationship to other distributions
5 Relativistic Breit-Wigner distribution
6 See also
7 External links

[edit] Properties

The cumulative distribution function is:

$F(x; x_0,\gamma)=\frac{1}{\pi} \arctan\left(\frac{x-x_0}{\gamma}\right)+\frac{1}{2}$

and the inverse cumulative distribution function of the Cauchy distribution is

$F^{-1}(p; x_0,\gamma) = x_0 + \gamma\,\tan(\pi\,(p-1/2)). \!$

The Cauchy distribution is an example of a distribution which has no mean, variance or higher moments defined. Its mode and median are well defined and are both equal to x₀.

Let X denote a Cauchy distributed random variable. The characteristic function of the Cauchy distribution is well defined:

$\phi_x(t; x_0,\gamma) = \mathrm{E}(e^{i\,X\,t}) = \exp(i\,x_0\,t-\gamma\,|t|). \!$

When U and V are two independent normally distributed random variables with expected value 0 and variance 1, then the ratio U/V has the standard Cauchy distribution.

If X₁, …, X_n are independent and identically distributed random variables, each with a standard Cauchy distribution, then the sample mean (X₁ + … + X_n)/n has the same standard Cauchy distribution. To see that this is true, compute the characteristic function of the sample mean:

$\phi_{\overline{X}}(t) = \mathrm{E}\left(e^{i\,\overline{X}\,t}\right) \,\!$

where $\overline{X}$ is the sample mean. This example serves to show that the hypothesis of finite variance in the central limit theorem cannot be dropped. It is also an example of a more generalized version of the central limit theorem that is characteristic of all Lévy skew alpha-stable distributions, of which the Cauchy distribution is a special case.

The Cauchy distribution is an infinitely divisible probability distribution. It is also a strictly stable distribution.

The standard Cauchy distribution coincides with the Student's t-distribution with one degree of freedom.

The location-scale family to which the Cauchy distribution belongs is closed under linear fractional transformations with real coefficients. In this connection, see also McCullagh's parametrization of the Cauchy distributions.

[edit] Why the mean of the Cauchy distribution is undefined

If a probability distribution has a density function f(x) then the mean or expected value is

$\int_{-\infty}^\infty x f(x)\,dx. \qquad\qquad (1)\!$

The question is now whether this is the same thing as

$\int_0^\infty x f(x)\,dx-\int_{-\infty}^0 |{x}| f(x)\,dx.\qquad\qquad (2) \!$

If at most one of the two terms in (2) is infinite, then (1) is the same as (2). But in the case of the Cauchy distribution, both the positive and negative terms of (2) are infinite. This means (2) is undefined. Moreover, if (1) is construed as a Lebesgue integral, then (1) is also undefined, since (1) is then defined simply as the difference (2) between positive and negative parts.

However, if (1) is construed as an improper integral rather than a Lebesgue integral, then (2) is undefined, and (1) is not necessarily well-defined. We may take (1) to mean

$\lim_{a\to\infty}\int_{-a}^a x f(x)\,dx, \!$

and this is its Cauchy principal value, which is zero, but we could also take (1) to mean, for example,

$\lim_{a\to\infty}\int_{-2a}^a x f(x)\,dx, \!$

which is not zero, as can be seen easily by computing the integral.

Various results in probability theory about expected values, such as the strong law of large numbers, will not work in such cases.

Also, the sample mean of a random sample taken from a Cauchy distribution is no better than a single observation, because the chances of including extreme values is high. However, the sample median, which is not affected by extreme values, can be used as a measure of central tendency.

[edit] Why the second moment of the Cauchy distribution is infinite

Without a defined mean, it is impossible to consider the variance or standard deviation of a standard Cauchy distribution. But the second moment about zero can be considered. It turns out to be infinite:

$\mathrm{E}(X^2) \propto \int_{-\infty}^{\infty} {x^2 \over 1+x^2}\,dx = \int_{-\infty}^{\infty} dx - \int_{-\infty}^{\infty} {1 \over 1+x^2}\,dx = \infty -\pi = \infty. \!$

[edit] Relationship to other distributions

The ratio of two independent standard normal random variables is a standard Cauchy variable, a Cauchy(0,1). See Hodgson's paradox.
The standard Cauchy(0,1) distribution arises as a special case of Student's t distribution with one degree of freedom.
Relation to Lévy skew alpha-stable distribution: if $X\sim \textrm{Levy-S}\alpha\textrm{S}(1,0,\gamma,\mu)$ then $X \sim \textrm{Cauchy}(\mu,\gamma)$ .

[edit] Relativistic Breit-Wigner distribution

In nuclear and particle physics, the energy profile of a resonance is described by the relativistic Breit-Wigner distribution.

[edit] See also

McCullagh's parametrization of the Cauchy distributions

[edit] External links

Weisstein, Eric W., Cauchy Distribution at MathWorld.
GNU Scientific Library - Reference Manual

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