OWENS
Owen's T Function

OWENS is a FORTRAN77 program which evaluates Owen's T function.

There is a mistake in the text of the routines, as printed in the Journal of Statistical Software. In particular, there is a mistake in the text of the function T(H,A), which has been corrected in the source code given here.

Related Data and Programs:

ASA005 is a FORTRAN77 library which evaluates the CDF of the noncentral T distribution, and uses Owen's T function.

ASA076 is a FORTRAN77 library which evaluates Owen's T function.

ASA243 is a FORTRAN77 library which evaluates the CDF of the noncentral T distribution.

OWENS is available in a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version

TEST_VALUES is a FORTRAN77 library which includes selected values of many special functions.

TOMS462 a FORTRAN77 library which evaluates the bivariate normal distribution;
this is ACM TOMS algorithm 462.

Reference:

1. Donald Owen,
   Tables for Computing Bivariate Normal Probabilities,
   Annals of Mathematical Statistics,
   Volume 27, Number 4, December 1956, pages 1075-1090.
2. Mike Patefield, David Tandy,
   Fast and Accurate Calculation of Owen's T Function,
   Journal of Statistical Software,
   Volume 5, Number 5, 2000, pages 1-25.

Source Code:

• owens.f, the source code.
• owens.csh, commands to compile the source code.

Examples and Tests:

• owens_prb.f, a sample calling program.
• owens_prb.csh, commands to compile and run the sample program.
• owens_prb_output.txt, the output file.

List of Routines:

• BIVPRB computes a bivariate normal CDF for correlated X and Y.
• NORMP computes the cumulative density of the standard normal distribution.
• OWEN_VALUES returns some values of Owen's T function.
• Q computes (1/2) * p(H
• T computes Owen's T function for arbitrary H and A.
• TFUN computes Owen's T function for a restricted range of parameters.
• TIMESTAMP prints out the current YMDHMS date as a timestamp.
• ZNORM1 evaluates the normal CDF from -oo to Z.
• ZNORM2 evaluates the normal CDF from Z to +oo.

You can go up one level to the FORTRAN77 source codes.