Owen's T function
Encyclopedia
In mathematics, Owen's T function T(h, a), named after statistician
Donald Bruce Owens, is defined by
) where X and Y are independent standard normal random variable
s.
This function can be used to calculate bivariate normal distribution probabilities and, from there, in the calculation of multivariate normal distribution probabilities.
Computer algorithms for the accurate calculation of this function are available. The function was first introduced by Owen in 1956.
Statistician
A statistician is someone who works with theoretical or applied statistics. The profession exists in both the private and public sectors. The core of that work is to measure, interpret, and describe the world and human activity patterns within it...
Donald Bruce Owens, is defined by
Applications
The function T(h, a) gives the probability of the event (X>h and 0Random variable
In probability and statistics, a random variable or stochastic variable is, roughly speaking, a variable whose value results from a measurement on some type of random process. Formally, it is a function from a probability space, typically to the real numbers, which is measurable functionmeasurable...
s.
This function can be used to calculate bivariate normal distribution probabilities and, from there, in the calculation of multivariate normal distribution probabilities.
Computer algorithms for the accurate calculation of this function are available. The function was first introduced by Owen in 1956.
Software
- 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 MathematicaMathematicaMathematica is a computational software program used in scientific, engineering, and mathematical fields and other areas of technical computing...
since version 8, as OwenT.
External links
- Why You Should Care about the Obscure (Wolfram blog post)