Cauchy Distribution: Where Limit Theorems Fail
The Cauchy Distribution
The Cauchy distribution is a continuous probability distribution that serves as a cautionary example: neither the WLLN nor CLT apply.
Standard Cauchy has parameters (location) and (scale).
CDF
Heavy Tails
The Cauchy distribution has very heavy tails. Compare to standard normal:
The Cauchy tails decay like , much slower than the normal’s .
No Finite Mean
The mean of Cauchy does not exist.
Attempt to Compute Mean
This integral is principally undefined:
We get , which is undefined. Even the Cauchy principal value is 0, but this is not a proper expectation.
No Finite Variance
Without a finite mean, variance is also undefined. In fact, for Cauchy.
Why WLLN and CLT Fail
Both require finite mean and/or variance:
- WLLN: Requires
- SLLN: Requires
- CLT: Requires (finite variance)
Cauchy has neither finite mean nor finite variance.
Average of Cauchy Variables
If are i.i.d. Cauchy, then is also Cauchy. It does not concentrate around any value as .
Intuition: Outliers are so extreme that they dominate the average, even as grows.
Physical Interpretation
The Cauchy distribution arises as the distribution of where is uniform on .
This models:
- Light refracted at random angle
- Ratio of two independent normals with mean 0
- Resonance lines in spectroscopy
Example: Averages Don’t Converge
Generate Cauchy samples and compute running averages. The average will keep jumping around rather than settling to a value.
Unlike normal or exponential samples where converges, Cauchy averages are “sticky” to extreme values.
Visually Comparing Averages
- Normal: sample mean stays near 0 after moderate
- Cauchy: sample mean can suddenly jump even for large
Moral
Limit theorems are powerful, but they have assumptions:
- i.i.d. samples
- Finite mean (WLLN, SLLN)
- Finite variance (CLT, Chebyshev-based WLLN)
The Cauchy distribution shows what happens when these assumptions fail.
Summary
| Property | Cauchy | Normal |
|---|---|---|
| PDF tails | ||
| Mean | Undefined | 0 |
| Variance | Undefined | 1 |
| CLT applies | No | Yes |
| Sample mean | Also Cauchy | Concentrates |