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

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

and the Standard Cauchy distribution just sets x_0=0 and \gamma=1

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

[R229]NIST/SEMATECH e-Handbook of Statistical Methods, “Cauchy Distribution”, http://www.itl.nist.gov/div898/handbook/eda/section3/eda3663.htm
[R230]Weisstein, Eric W. “Cauchy Distribution.” From MathWorld–A Wolfram Web Resource. http://mathworld.wolfram.com/CauchyDistribution.html
[R231]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()