owen

owen a FORTRAN77 code 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:

owen 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:

owen_test

asa005, a FORTRAN77 library which evaluates the CDF of the noncentral T distribution, and uses Owen's T function.

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

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

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

TOMS462, a FORTRAN77 library which evaluates the upper right tail of the bivariate normal distribution; that is, the probability that normal variables X and Y with correlation R will satisfy H <= X and K <= Y; 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:

• owen.f, the source code.
• owen.sh, commands to compile the source code.