## Saturday, December 10, 2005

### Fun with the Cauchy distribution

Viral showed me a striking result about the distribution of the error introduced in adding up M floating point numbers which are drawn from the normal distribution.

That got us talking about the Cauchy distribution (also known as the t distribution with 1 degree of freedom). This is an infinite variance distribution, so the sample mean is not consistent. It is a striking example to challenge our everyday intuition which thinks the mean is always consistent. So I added an example about the Cauchy distribution to my page of R examples. Try it - it's fun! :-)

Please note: Comments are moderated. Only civilised conversation is permitted on this blog. Criticism is perfectly okay; uncivilised language is not. We delete any comment which is spam, has personal attacks against anyone, or uses foul language. We delete any comment which does not contribute to the intellectual discussion about the blog article in question.

LaTeX mathematics works. This means that if you want to say $10 you have to say \$10.