Cauchy Distribution

The Cauchy distribution, named after Augustin Cauchy, is a continuous probability distribution. It is also known, especially among physicists, as the Lorentz distribution (after Hendrik Lorentz), Cauchy–Lorentz distribution, Lorentz(ian) function, or Breit–Wigner distribution. The simplest Cauchy distribution is called the standard Cauchy distribution. It has the distribution of a random variable that is the ratio of two independent standard normal random variables. This has the probability density function

Its cumulative distribution function has the shape of an arctangent function arctan(x):

The Cauchy distribution is often used in statistics as the canonical example of a "pathological" distribution. Both its mean and its variance are undefined. (But see the section Explanation of undefined moments below.) The Cauchy distribution does not have finite moments of order greater than or equal to one; only fractional absolute moments exist. The Cauchy distribution has no moment generating function.

Its importance in physics is the result of its being the solution to the differential equation describing forced resonance. In mathematics, it is closely related to the Poisson kernel, which is the fundamental solution for the Laplace equation in the upper half-plane. In spectroscopy, it is the description of the shape of spectral lines which are subject to homogeneous broadening in which all atoms interact in the same way with the frequency range contained in the line shape. Many mechanisms cause homogeneous broadening, most notably collision broadening, and Chantler–Alda radiation. In its standard form, it is the maximum entropy probability distribution for a random variate X for which .

Read more about Cauchy Distribution:  Properties, Estimation of Parameters, Circular Cauchy Distribution, Multivariate Cauchy Distribution, Transformation Properties, Related Distributions, Relativistic Breit–Wigner Distribution

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