Owen's T function

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In mathematics, Owen's T function T(ha), named after statistician Donald Bruce Owen, is defined by


 T(h,a)=\frac{1}{2\pi}\int_{0}^{a} \frac{e^{-\frac{1}{2} h^2 (1+x^2)}}{1+x^2}  dx \quad \left(-\infty < h, a < +\infty\right).

The function was first introduced by Owen in 1956.[1]

Applications[edit]

The function T(ha) gives the probability of the event (X>h and 0<Y<a*X) where X and Y are independent standard normal random variables.

This function can be used to calculate bivariate normal distribution probabilities[2][3] and, from there, in the calculation of multivariate normal distribution probabilities.[4] It also frequently appears in various integrals involving Gaussian functions.

Computer algorithms for the accurate calculation of this function are available;[5] quadrature having been employed since the 1970s. [6]

Properties[edit]

 T(h,0) = 0
 T(0,a) = \frac{1}{2\pi} \arctan(a)
 T(-h,a) = T(h,a)
 T(h,-a) = -T(h,a)
 T(h,a) + T(ah,\frac{1}{a}) = \frac{1}{2} \left(\Phi(h) + \Phi(ah)\right) + \Phi(h)\Phi(ah) \quad \mbox{if} \quad a \geq 0
 T(h,a) + T(ah,\frac{1}{a}) = \frac{1}{2} \left(\Phi(h) + \Phi(ah)\right) + \Phi(h)\Phi(ah) - \frac{1}{2} \quad \mbox{if} \quad a < 0
 T(h, 1) = \frac{1}{2} \Phi(h) \left(1 - \Phi(h)\right)
 \int T(0,x) \mathrm{d}x = x T(0,x) - \frac{1}{4 \pi} \ln(1+x^2) + C

Here Φ(x) is the standard normal cumulative density function

 \Phi(x) = \frac{1}{\sqrt{2\pi}} \int_{-\infty}^x \exp\left(-t^2 / 2\right) \mathrm{d}y

More properties can be found in the literature.[7]

References[edit]

  1. ^ Owen, D B (1956). "Tables for computing bivariate normal probabilities". Annals of Mathematical Statistics, 27, 1075–1090.
  2. ^ Sowden, R R and Ashford, J R (1969). "Computation of the bivariate normal integral". Applied Statististics, 18, 169–180.
  3. ^ Donelly, T G (1973). "Algorithm 462. Bivariate normal distribution". Commun. Ass. Comput.Mach., 16, 638.
  4. ^ Schervish, M H (1984). "Multivariate normal probabilities with error bound". Applied Statistics, 33, 81–94.
  5. ^ Patefield, M. and Tandy, D. (2000) "Fast and accurate Calculation of Owen’s T-Function", Journal of Statistical Software, 5 (5), 1–25.
  6. ^ JC Young and Christoph Minder. Algorithm AS 76
  7. ^ Owen (1980)
  • Owen, D. (1980). "A table of normal integrals". Communications in Statistics: Simulation and Computation B9: 389–419. 

Software[edit]

  • 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.

External links[edit]