warped Cauchys | Xi'an's Og

warped Cauchys

A somewhat surprising request on X validated about the inverse cdf representation of a wrapped Cauchy distribution. I had not come across this distribution, but its density being

$f_{WC}(\theta;\gamma)=\sum_{n=-\infty}^\infty \frac{\gamma}{\pi(\gamma^2+(\theta+2\pi n)^2)}\mathbb I_{ -\pi<\theta<\pi}$

means that it is the superposition of shifted Cauchys on the unit circle (with nice complex representations). As such, it is easily simulated by re-shifting a Cauchy back to (-π,π), i.e. using the inverse transform

$\theta = [\gamma\tan(\pi U-\pi/2)+\pi]\ \text{mod}\,(2\pi) - \pi$

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This entry was posted on May 4, 2021 at 12:21 am and is filed under Books, Kids, R, Statistics with tags cross validated, inverse cdf, Non-Uniform Random Variate Generation, warped Cauchy distribution. You can follow any responses to this entry through the RSS 2.0 feed. You can leave a response, or trackback from your own site.

3 Responses to “warped Cauchys”

warped Cauchys | R-bloggers Says:
May 5, 2021 at 8:12 am

[…] article was first published on R – Xi'an's Og, and kindly contributed to R-bloggers]. (You can report issue about the content on this page here) […]

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seehuhn Says:
May 4, 2021 at 3:28 pm

The post mis-spells “wrapped” as “warped”.

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- xi'an Says:
  May 4, 2021 at 4:38 pm
  
  Thanks, this is intended as a poor joke..!
  
  Reply

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