owen

owen, an Octave 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:

owen_test

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

asa076, an Octave code which evaluates Owen's T function.

asa243, an Octave code which evaluates the CDF of the noncentral T distribution.

test_values, an Octave code which includes selected values of many special functions.

toms462, an Octave 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:

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:

• 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.