check cauchy distribution

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check cauchy distribution

I generalized a multivariate data set from t distribution using sas command  RANDMVT(#SAMPLES,DF=1,MEAN,COV).  I believe t(1) is cauchy..How can I  check my data set has a Cauchy distribution. Thanks in advance.


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‎04-19-2013 03:35 PM
SAS Super FREQ
Posts: 3,753

Re: check cauchy distribution

(For other readers, the RANDMVT function available in SAS/IML. )

Yes, the t distribution with 1 DOF is Cauchy.  The algorithm used for RANDMVT is from

S. Kotz and S. Nadarajah (2004), Multivariate t Distributions and their Applications, New York: Cambridge University Press, 1-12.

See that reference to understand why the algorithm generates a random sample from a t distribution.

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‎04-19-2013 03:35 PM
SAS Super FREQ
Posts: 3,753

Re: check cauchy distribution

(For other readers, the RANDMVT function available in SAS/IML. )

Yes, the t distribution with 1 DOF is Cauchy.  The algorithm used for RANDMVT is from

S. Kotz and S. Nadarajah (2004), Multivariate t Distributions and their Applications, New York: Cambridge University Press, 1-12.

See that reference to understand why the algorithm generates a random sample from a t distribution.

New Contributor
Posts: 3

Re: check cauchy distribution

Thank you very much Rick !....

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