OWENS
Owen's T Function
OWENS
is a C++ library which
evaluates Owen's T function.
Licensing:
The computer code and data files described and made available on this web page
are distributed under
the GNU LGPL license.
Languages:
OWENS is available in
a C version and
a C++ version and
a FORTRAN77 version and
a FORTRAN90 version and
a MATLAB version
Related Data and Programs:
ASA005,
a C++ library which
evaluates the CDF of the noncentral T distribution, and uses Owen's T function.
ASA076,
a C++ library which
evaluates Owen's T function.
ASA243,
a C++ library which
evaluates the CDF of the noncentral T distribution.
TEST_VALUES,
a C++ 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:

Donald Owen,
Tables for Computing Bivariate Normal Probabilities,
Annals of Mathematical Statistics,
Volume 27, Number 4, December 1956, pages 10751090.

Mike Patefield, David Tandy,
Fast and Accurate Calculation of Owen's T Function,
Journal of Statistical Software,
Volume 5, Number 5, 2000, pages 125.
Source Code:
Examples and Tests:
List of Routines:

BIVARIATE_NORMAL_CDF_VALUES returns some values of the bivariate normal CDF.

BIVPRB computes a bivariate normal CDF for correlated X and Y.

NORMAL_01_CDF_VALUES returns some values of the Normal 01 CDF.

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

R8_ABS returns the absolute value of an R8.

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 the current YMDHMS date as a time stamp.

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 C++ source codes.
Last revised on 15 December 2011.