OWENS
Owen's T Function

OWENS is a MATLAB program 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 MATLAB library which evaluates the CDF of the noncentral T distribution, and uses Owen's T function.

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

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

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

TOMS462, a MATLAB library 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.
• timestamp.m prints out the current YMDHMS date as a timestamp.
• znorm1.m evaluates the normal CDF from 0 to Z.
• znorm2.m evaluates the normal CDF from Z to +oo.

Examples and Tests:

• owens_test.m, a sample calling program.
• owens_test01.m, tests T.
• owens_test02.m, tests BIVNOR.
• owens_test03.m, tests ZNORM1.
• owens_test04.m, tests ZNORM2.
• owens_test_output.txt, the output file.

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