Owen's T function
In mathematics, Owen's T function T(h, a), named after statistician Donald Bruce Owen, is defined by
This function can be used to calculate bivariate normal distribution probabilities and, from there, in the calculation of multivariate normal distribution probabilities. It also frequently appears in various integrals involving Gaussian functions.
More properties can be found in the literature.
- Sowden, R R and Ashford, J R (1969). "Computation of the bivariate normal integral". Applied Statististics, 18, 169–180.
- Donelly, T G (1973). "Algorithm 462. Bivariate normal distribution". Commun. Ass. Comput.Mach., 16, 638.
- Schervish, M H (1984). "Multivariate normal probabilities with error bound". Applied Statistics, 33, 81–94.
- Patefield, M. and Tandy, D. (2000) "Fast and accurate Calculation of Owen’s T-Function", Journal of Statistical Software, 5 (5), 1–25.
- Owen, D B (1956). "Tables for computing bivariate normal probabilities". Annals of Mathematical Statistics, 27, 1075–1090.
- Owen (1980)
- Owen, D. (1980). "A table of normal integrals". Communications in Statistics: Simulation and Computation B9: 389–419.
- Owen's T function (user web site) - offers C++, FORTRAN77, FORTRAN90, and MATLAB libraries released under the LGPL license LGPL
- Owen's T-function is implemented in Mathematica since version 8, as OwenT.
- Why You Should Care about the Obscure (Wolfram blog post)
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