Find the density of $Y = a/(1 + X^{2})$, where $X$ has the Cauchy distribution.
MY SOLUTION
To begin with, let us remember that the Cauchy probability density function is given by
\begin{align*}
f_{X}(x) = \frac{1}{\pi(1+x^{2})}\quad\text{for}\quad x\in\textbf{R}
\end{align*}
Consequently, the sought distribution is described as
\begin{align*}
F_{Y}(Y\leq y) &= \textbf{P}(Y\leq y) = \textbf{P}\left(\frac{a}{1+X^{2}} \leq y\right) = \textbf{P}\left(1+X^{2}\geq \frac{a}{y}\right)\\\\
& = \textbf{P}\left(|X|\geq \sqrt{\frac{a-y}{y}}\right) = \textbf{P}\left(X\geq \sqrt{\frac{a-y}{y}}\right) + \textbf{P}\left(X \leq -\sqrt{\frac{a-y}{y}}\right)\\\\
& = 1 – F_{X}\left(\sqrt{\frac{a-y}{y}}\right) + F_{X}\left(-\sqrt{\frac{a-y}{y}}\right)
\end{align*}
where $y\in(0,a]$. Finally, we have
\begin{align*}
F_{X}(x) = \int_{-\infty}^{x}f_{X}(u)\mathrm{d}u = \int_{-\infty}^{x}\frac{\mathrm{d}x}{\pi(1+x^{2})} = \frac{\arctan(x)}{\pi} + \frac{1}{2}\end{align*}
I have two questions. Firstly, I would like to know if this approach is correct. Secondly, I would like to know if there is another way to solve this problem. Thanks in advance!
Best Answer
A different way to approach this is to represent a Cauchy r.v. $X$ as the ratio of two independent $N(0,1)$ r.v.s. Once you write $X=S/T$, with $S,T\sim N(0,1)$ the representation $Y=aT^2/(S^2+T^2)$ drops out. And so on...
This method relies on "pattern matching" (you have to `know the ratio of Gaussians fact, you have to know what the distribution of $T^2/(S^2+T^2)$ is). But if you have these facts in your working tool kit, the calculus details are less intricate.