owen

owen, a FORTRAN90 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 MIT license

Languages:

owen is available in a C version and a C++ version and a Fortran90 version and a MATLAB version and an Octave version and a Python version.

Related Data and Programs:

ASA005, a FORTRAN90 code which evaluates the CDF of the noncentral T distribution, and uses Owen's T function.

ASA076, a FORTRAN90 code which evaluates Owen's T function.

ASA243, a FORTRAN90 code which evaluates the CDF of the noncentral T distribution.

TEST_VALUES, a FORTRAN90 code which includes selected values of many special functions.

TOMS462, a FORTRAN90 code 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 a FORTRAN90 version of 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.f90, the source code.
• owen.sh, compiles the source code.