Function cmb_random_cauchy

Function Documentation

static inline double cmb_random_cauchy(const double mode, const double scale)

Cauchy distribution - the canonical fat-tailed distribution.

The mean, variance, and all higher moments are undefined.

Consists of the ratio of two standard normal distributed variables. Occurs e.g., as the incidence of rays from a point source onto a line. Substituting it for a normal distribution in some financial model gives black swan events galore. Also known as the Lorentz distribution or the Witch of Agnesi. It is evil. Mostly useful as a practical joke or as a pathological test case to break assumptions.

See also https://en.wikipedia.org/wiki/Cauchy_distribution