asa076

asa076, a MATLAB code which evaluates Owen's T function, by Young and Minder.

This is Applied Statistics Algorithm 76.

Licensing:

The computer code and data files described and made available on this web page are distributed under the MIT license

Languages:

asa076 is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version.

Related Data and Programs:

asa076_test

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

asa243, a MATLAB code which evaluates the CDF of the noncentral T distribution.

owen, a MATLAB code which evaluates Owen's T function.

Author:

Original FORTRAN77 version by JC Young and Christoph Minder; MATLAB version by John Burkardt.

Reference:

1. Richard Boys,
   Remark AS R80: A Remark on Algorithm AS76: An Integral Useful in Calculating Noncentral T and Bivariate Normal Probabilities,
   Applied Statistics,
   Volume 38, Number 3, 1989, pages 580-582.
2. Youn-Min Chou,
   Remark AS R55: A Remark on Algorithm AS76: An Integral Useful in Calculating Noncentral T and Bivariate Normal Probabilities,
   Applied Statistics,
   Volume 34, Number 1, 1985, pages 100-101.
3. PW Goedhart, MJW Jansen,
   Remark AS R89: A Remark on Algorithm AS76: An Integral Useful in Calculating Noncentral T and Bivariate Normal Probabilities,
   Applied Statistics,
   Volume 41, Number 2, 1992, pages 496-497.
4. MA Porter, DJ Winstanley,
   Remark AS R30: A Remark on Algorithm AS76: An Integral Useful in Calculating Noncentral T and Bivariate Normal Probabilities,
   Applied Statistics,
   Volume 28, Number 1, 1979, page 113.
5. JC Young, Christoph Minder,
   Algorithm AS 76: An Algorithm Useful in Calculating Non-Central T and Bivariate Normal Distributions,
   Applied Statistics,
   Volume 23, Number 3, 1974, pages 455-457.

Source Code:

• alnorm.m computes the cumulative density of the standard normal distribution.
• tfn.m calculates the T-function of Owen.
• tha.m computes Owen's T function.