Phi2rho

MaRDI QIDQ5979208CRANFDO

Authors Janez Komelj

Last update 27 June 2026

Copyright license GNU General Public License, version 2.0, GNU General Public License, version 3.0

Software version identifier 1.0, 1.0.1, PACKAGES.rds, 1.0.2

Description

Computes 'Owen's T' function or the bivariate normal integral using one of the following methods: the modified Euler's arctangent series, tetrachoric series, or Vasicek's series. For the methodology, see Komelj, J. (2023) <doi:10.4236/ajcm.2023.134026>, or the revised postprint version with corrected contents and improved typography at <doi:10.48550/arXiv.2312.00011>. Also see the alternative approach by Vasicek, O. A. (1998) <doi:10.21314/JCF.1998.015>.

Cites work

• A series expansion for the bivariate normal integral
• The Bivariate Normal Integral via Owen’s &lt;i&gt;T&lt;/i&gt; Function as a Modified Euler’s Arctangent Series

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