SciPy

numpy.random.standard_cauchy

numpy.random.standard_cauchy(size=None)

Standard Cauchy distribution with mode = 0.

Also known as the Lorentz distribution.

Parameters:

size : int or tuple of ints

Shape of the output.

Returns:

samples : ndarray or scalar

The drawn samples.

Notes

The probability density function for the full Cauchy distribution is

System Message: WARNING/2 (P(x; x_0, \gamma) = \frac{1}{\pi \gamma \bigl[ 1+ (\frac{x-x_0}{\gamma})^2 \bigr] } )

latex exited with error [stdout] This is pdfTeX, Version 3.14159265-2.6-1.40.16 (TeX Live 2015/TeX Live for SUSE Linux) (preloaded format=latex) restricted \write18 enabled. entering extended mode (./math.tex LaTeX2e <2015/01/01> patch level 2 Babel <3.9m> and hyphenation patterns for 79 languages loaded. (/usr/share/texmf/tex/latex/base/article.cls Document Class: article 2014/09/29 v1.4h Standard LaTeX document class (/usr/share/texmf/tex/latex/base/size12.clo)) (/usr/share/texmf/tex/latex/base/inputenc.sty ! LaTeX Error: File `utf8x.def’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: def) Enter file name: ! Emergency stop. <read *> l.173 \endinput ^^M No pages of output. Transcript written on math.log.

and the Standard Cauchy distribution just sets

System Message: WARNING/2 (x_0=0)

latex exited with error [stdout] This is pdfTeX, Version 3.14159265-2.6-1.40.16 (TeX Live 2015/TeX Live for SUSE Linux) (preloaded format=latex) restricted \write18 enabled. entering extended mode (./math.tex LaTeX2e <2015/01/01> patch level 2 Babel <3.9m> and hyphenation patterns for 79 languages loaded. (/usr/share/texmf/tex/latex/base/article.cls Document Class: article 2014/09/29 v1.4h Standard LaTeX document class (/usr/share/texmf/tex/latex/base/size12.clo)) (/usr/share/texmf/tex/latex/base/inputenc.sty ! LaTeX Error: File `utf8x.def’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: def) Enter file name: ! Emergency stop. <read *> l.173 \endinput ^^M No pages of output. Transcript written on math.log.
and

System Message: WARNING/2 (\gamma=1)

latex exited with error [stdout] This is pdfTeX, Version 3.14159265-2.6-1.40.16 (TeX Live 2015/TeX Live for SUSE Linux) (preloaded format=latex) restricted \write18 enabled. entering extended mode (./math.tex LaTeX2e <2015/01/01> patch level 2 Babel <3.9m> and hyphenation patterns for 79 languages loaded. (/usr/share/texmf/tex/latex/base/article.cls Document Class: article 2014/09/29 v1.4h Standard LaTeX document class (/usr/share/texmf/tex/latex/base/size12.clo)) (/usr/share/texmf/tex/latex/base/inputenc.sty ! LaTeX Error: File `utf8x.def’ not found. Type X to quit or <RETURN> to proceed, or enter new name. (Default extension: def) Enter file name: ! Emergency stop. <read *> l.173 \endinput ^^M No pages of output. Transcript written on math.log.

The Cauchy distribution arises in the solution to the driven harmonic oscillator problem, and also describes spectral line broadening. It also describes the distribution of values at which a line tilted at a random angle will cut the x axis.

When studying hypothesis tests that assume normality, seeing how the tests perform on data from a Cauchy distribution is a good indicator of their sensitivity to a heavy-tailed distribution, since the Cauchy looks very much like a Gaussian distribution, but with heavier tails.

References

[R227]NIST/SEMATECH e-Handbook of Statistical Methods, “Cauchy Distribution”, http://www.itl.nist.gov/div898/handbook/eda/section3/eda3663.htm
[R228]Weisstein, Eric W. “Cauchy Distribution.” From MathWorld–A Wolfram Web Resource. http://mathworld.wolfram.com/CauchyDistribution.html
[R229]Wikipedia, “Cauchy distribution” http://en.wikipedia.org/wiki/Cauchy_distribution

Examples

Draw samples and plot the distribution:

>>> s = np.random.standard_cauchy(1000000)
>>> s = s[(s>-25) & (s<25)]  # truncate distribution so it plots well
>>> plt.hist(s, bins=100)
>>> plt.show()