owen
owen,
a MATLAB 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 FORTRAN90 version and
a MATLAB version and
a Python version.
Related Data and Programs:
asa005,
a MATLAB code which
evaluates the CDF of the noncentral T distribution, and uses Owen's T function.
asa076,
a MATLAB code which
evaluates Owen's T function.
asa243,
a MATLAB code which
evaluates the CDF of the noncentral T distribution.
owen_test
test_values,
a MATLAB code which
includes selected values of many special functions.
toms462,
a MATLAB 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 MATLAB version of 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:

bivariate_normal_cdf_values.m
returns some values of the bivariate normal CDF.

bivnor.m
computes a bivariate normal CDF for correlated X and Y.

normal_01_cdf_values.m
returns values of the Normal01 CDF.

owen_values.m
returns some values of Owen's T function.

q.m
computes (1/2) * p(H

t.m
computes Owen's T function for arbitrary H and A.

tfun.m
computes Owen's T function for a restricted range of parameters.

znorm1.m
evaluates the normal CDF from 0 to Z.

znorm2.m
evaluates the normal CDF from Z to +oo.
Last revised on 12 February 2019.