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Cauchy Distribution

  A random variable X follows the Cauchy distribution if its probability density function is

Its mode and median are zero, but the expectation value, variance and higher moments are undefined since the corresponding integrals diverge. A commonly used measure of the width is the full width at half maximum (FWHM), which is equal to 2.

If a variable is uniformly distributed between and , then will follow a Cauchy distribution. If y and z follow independent normal distributions, x=y/z will again follow a Cauchy distribution.

A more general form of the Cauchy distribution is the Lorentz distribution , also called the Breit-Wigner distribution which has the probability density

where x0 is the mode and the full width at half maximum or FWHM.



Rudolf K. Bock, 7 April 1998