Owen's T function

In mathematics, Owen's T function T(h, a), named after statistician Donald Bruce Owen, is defined by

${\displaystyle T(h,a)={\frac {1}{2\pi }}\int _{0}^{a}{\frac {e^{-{\frac {1}{2}}h^{2}(1+x^{2})}}{1+x^{2}}}dx\quad \left(-\infty <h,a<+\infty \right).}$

The function was first introduced by Owen in 1956.^[1]

Applications

The function T(h, a) gives the probability of the event (X>h and 0<Y<a*X) where X and Y are independent standard normal random variables.

This function can be used to calculate bivariate normal distribution probabilities^[2][3] and, from there, in the calculation of multivariate normal distribution probabilities.^[4] It also frequently appears in various integrals involving Gaussian functions.

Computer algorithms for the accurate calculation of this function are available;^[5] quadrature having been employed since the 1970s. ^[6]

Properties

${\displaystyle T(h,0)=0}$

${\displaystyle T(0,a)={\frac {1}{2\pi }}\arctan(a)}$

${\displaystyle T(-h,a)=T(h,a)}$

${\displaystyle T(h,-a)=-T(h,a)}$

${\displaystyle T(h,a)+T(ah,{\frac {1}{a}})={\frac {1}{2}}\left(\Phi (h)+\Phi (ah)\right)-\Phi (h)\Phi (ah)\quad {\mbox{if}}\quad a\geq 0}$

${\displaystyle T(h,a)+T(ah,{\frac {1}{a}})={\frac {1}{2}}\left(\Phi (h)+\Phi (ah)\right)-\Phi (h)\Phi (ah)-{\frac {1}{2}}\quad {\mbox{if}}\quad a<0}$

${\displaystyle T(h,1)={\frac {1}{2}}\Phi (h)\left(1-\Phi (h)\right)}$

${\displaystyle \int T(0,x)\mathrm {d} x=xT(0,x)-{\frac {1}{4\pi }}\ln(1+x^{2})+C}$

Here Φ(x) is the standard normal cumulative density function

${\displaystyle \Phi (x)={\frac {1}{\sqrt {2\pi }}}\int _{-\infty }^{x}\exp \left(-t^{2}/2\right)\mathrm {d} t}$

More properties can be found in the literature.^[7]

References

1. Owen, D B (1956). "Tables for computing bivariate normal probabilities". Annals of Mathematical Statistics, 27, 1075–1090.
2. Sowden, R R and Ashford, J R (1969). "Computation of the bivariate normal integral". Applied Statististics, 18, 169–180.
3. Donelly, T G (1973). "Algorithm 462. Bivariate normal distribution". Commun. Ass. Comput.Mach., 16, 638.
4. Schervish, M H (1984). "Multivariate normal probabilities with error bound". Applied Statistics, 33, 81–94.
5. Patefield, M. and Tandy, D. (2000) "Fast and accurate Calculation of Owen’s T-Function", Journal of Statistical Software, 5 (5), 1–25.
6. JC Young and Christoph Minder. Algorithm AS 76
7. Owen (1980)

• Owen, D. (1980). "A table of normal integrals". Communications in Statistics: Simulation and Computation. B9: 389–419.

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 Mathematica since version 8, as OwenT.

External links

• Why You Should Care about the Obscure (Wolfram blog post)