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I'm investigating model mismatch and have a wrapped Cauchy distribution of

f(x,p) = (1-p^2)/ (2*pi*(1+p^2-2p*cos(x)))

Is there a way to map this to a random uniform distribution, like

random.uniform(100, minval=-q, maxval=q)

i.e. If I have a value of q, what p does that equate to? Thanks


Edit:

I have decided to match the moments to map the parameter. The means would be 0, but the variance would give: $\frac{1}{12} (q--q)^2 = 1- e^\gamma$

Using the substitution for $\gamma$ to get to $p$, and rearranging, I get: $p = \sqrt{\frac{1 - \tanh (-log(1-q^2/3))}{1 + \tanh (-log(1-q^2/3))}}$ but this does not behave as expected. i.e. when $p$ is close to 1, the distribution should be tight and therefore I would expect $q \rightarrow 0$ and when $p \rightarrow 0$, $q$ should be high, but this is not what happens - does anyone spot a mistake?

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    $\begingroup$ Probability integral transform? $\endgroup$ – Dave Apr 15 at 10:46
  • $\begingroup$ Thanks, yes looks like a probability integral transform is good to make a map between the distributions. Yes @Xi'an the $x$ is between - pi and pi $\endgroup$ – Lizardinablizzard Apr 15 at 15:34
  • $\begingroup$ You mean you are looking for a quantile function? math.stackexchange.com/questions/2911792/… $\endgroup$ – Sextus Empiricus Apr 19 at 20:35
  • $\begingroup$ Are you just trying to replace the wrapped Cauchy with scale parameter $p$ with a Uniform distribution with support (or scale) parameter $q$ by equating some moments? The graph of the density of a wrapped Cauchy distribution shows how much it differs from a Uniform. Besides, its support is always $(-\pi,\pi)$, for all $p$'s, which would suggest using $q=\pi$. $\endgroup$ – Xi'an Apr 21 at 14:52
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Since the wrapped Cauchy distribution is made of the superposition of truncated scaled Cauchy distributions$^1$ translated by $2n\pi$ for all $n$'s $(n\in\mathbb Z)$: $$f_{WC}(\theta;\gamma)=\sum_{n=-\infty}^\infty \frac{\gamma}{\pi(\gamma^2+(\theta+2\pi n)^2)}\,\mathbb I_{(-\pi,\pi)}(\theta)\qquad \gamma>0$$ it can be simulated by

  1. Simulating a regular Cauchy variate $X$ with scale$^2$ $\gamma$
  2. Translating the realisation $x$ of $X$ by the proper amount $2n\pi$ so that it belongs to $(-\pi,\pi)$ and returning the resulting $\theta=X+2n\pi$

Furthermore, the Cauchy distribution enjoys closed-form pdf and closed-form inverse pdf, which means that $X$ can be generated by the inverse pdf transform as $$X = \gamma\tan(\pi U-\pi/2)\qquad U\sim\mathcal U(0,1)$$ Therefore the random variable $\theta\sim f_{WC}(\theta;\gamma)$ can be written (and simulated) as $$\theta = [\gamma\tan(\pi U-\pi/2)+\pi]\ \text{mod}\,(2\pi) - \pi\tag{1}\qquad U\sim\mathcal U(0,1)$$

As an R code, this translates into

rwauchy <- function(n=1,gamma=1) (tan(pi*(runif(n)-.5))*gamma+pi)%%(2*pi)-pi

and the fit of the histogram with the density $f_{WC}$ is illustrated below

enter image description here


$^1$Formula cut&pasted from Wikipedia.

$^2$The correspondence between $\gamma$ and $p$ is$$\gamma=\tanh^{-1}\frac{1-p^2}{1+p^2}$$

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  • $\begingroup$ Thanks @Xi'an I forgot to mention my wrapping for the Cauchy distribution, but I also get this. Now I'd like to have a map between a uniform distribution and the wrapped Cauchy....if this is even possible, perhaps a rough map would work for low values? $\endgroup$ – Lizardinablizzard Apr 19 at 11:55
  • $\begingroup$ thanks, so I start with my uniform distribution $U(q)$ and generate a random number between $-q$ and $q$. I put this into eqn (1), and I'd like to find $p$. We know how $p$ and $\gamma$ relate. Eqn(1) gives me $\theta$ given some $\gamma$ and my random number. I'm not sure we know enough? $\endgroup$ – Lizardinablizzard Apr 20 at 10:04
  • $\begingroup$ Because all I know is the $q$ I used to generate the random number from $U[-q,q]$ and now I'd like an equivalent $p$, if possible? $\endgroup$ – Lizardinablizzard Apr 20 at 10:26
  • $\begingroup$ Could I pick a $\theta$ to assess the equation at, say, in the tail of the distribution? $\endgroup$ – Lizardinablizzard Apr 20 at 10:42
  • $\begingroup$ So I decided to test the distributions at 25%. For the uniform distribution, that occurs at $x=0.25*(q--q) + -q = -0.5q$. I wrote code to find the 25% in the wrapped cauchy: prange = np.linspace(0.05,0.95,1000) twentyfive = np.zeros(len(prange)) for pp in range(len(prange)): wc_int = np.arctan2(prange[pp]-1,(prange[pp]+1)*np.tan(x/2))/np.pi plt.plot(x,wc_int+1) twentyfive[pp] = wc_int.flat[np.abs(wc_int +1 - 0.25).argmin()] plt.show() plt.plot(prange,twentyfive) plt.show() plt.plot(twentyfive/-0.5) but I'm not sure it matches well $\endgroup$ – Lizardinablizzard Apr 20 at 14:13

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