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Central Limit Theorem Fails for Cauchy Distribution

ProbabilityCauchy DistributionCentral Limit TheoremNov 04, 2022Nov 04, 2022Completed

Central Limit Theorem Fails for Cauchy Distribution

A direct corollary of Central Limit Theorem is: for i.i.d Random Variable set {Xi​}i=1n​ with same Mean μ and Variance σ2,

n∑i=1n​Xi​​⟶d​Z∼N(μ,nσ2​).

However, we know that the sample mean of Cauchy distribution is

n∑i=1n​Xi​​∼Cauchy(a),

where a is the parameter of Xi​. Therefore, CLT fails for Cauchy Distribution.


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