OWENS
Owen's T Function

OWENS is a C++ library 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:

OWENS is available in a C version and a C++ version and a FORTRAN77 version and a FORTRAN90 version and a MATLAB version

Related Data and Programs:

ASA005, a C++ library which evaluates the CDF of the noncentral T distribution, and uses Owen's T function.

ASA076, a C++ library which evaluates Owen's T function.

ASA243, a C++ library which evaluates the CDF of the noncentral T distribution.

TEST_VALUES, a C++ library which includes selected values of many special functions.

TOMS462, a FORTRAN77 library which evaluates the bivariate normal distribution;
this is 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:

• owens.cpp, the source code.
• owens.hpp, the include file.
• owens.sh, commands to compile the source code.

Examples and Tests:

• owens_prb.cpp, a sample calling program.
• owens_prb.sh, commands to compile and run the sample program.
• owens_prb_output.txt, the output file.

List of Routines:

• BIVARIATE_NORMAL_CDF_VALUES returns some values of the bivariate normal CDF.
• BIVPRB computes a bivariate normal CDF for correlated X and Y.
• NORMAL_01_CDF_VALUES returns some values of the Normal 01 CDF.
• NORMP computes the cumulative density of the standard normal distribution.
• OWEN_VALUES returns some values of Owen's T function.
• Q computes (1/2) * p(H
• R8_ABS returns the absolute value of an R8.
• T computes Owen's T function for arbitrary H and A.
• TFUN computes Owen's T function for a restricted range of parameters.
• TIMESTAMP prints the current YMDHMS date as a time stamp.
• ZNORM1 evaluates the normal CDF from -oo to Z.
• ZNORM2 evaluates the normal CDF from Z to +oo.

You can go up one level to the C++ source codes.