OwenT {OwenQ}

Owen T-function

Description

Evaluates the Owen T-function.

Usage

OwenT(h, a)

Arguments

h

numeric scalar

a

numeric scalar

Details

This is a port of the function owens_t of the boost collection of C++ libraries.

Value

A number between 0 and 0.25.

References

Owen, D. B. (1956). Tables for computing bivariate normal probabilities. Ann. Math. Statist. 27, 1075-1090.

Examples

integrate(function(x) pnorm(1+2*x)^2*dnorm(x), lower=-Inf, upper=Inf)
pnorm(1/sqrt(5)) - 2*OwenT(1/sqrt(5), 1/3)