jburkardt

OWENS\ Owen’s T Function {#owens-owens-t-function align=”center”} =================

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OWENS is a C++ library which evaluates Owen’s T function.

Licensing: {#licensing align=”center”}

The computer code and data files described and made available on this web page are distributed under the GNU LGPL license.

Languages: {#languages align=”center”}

OWENS is available in a C version and a C++ version and a FORTRAN90 version and a MATLAB version and a Python version.

Related Data and Programs: {#related-data-and-programs align=”center”}

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.

Reference: {#reference align=”center”}

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: {#source-code align=”center”}

• owens.cpp, the source code.
• owens.hpp, the include file.

Examples and Tests: {#examples-and-tests align=”center”}

• owens_prb.cpp, a sample calling program.
• owens_prb.txt, the output file.

List of Routines: {#list-of-routines align=”center”}

• 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.

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Last revised on 15 December 2011.