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Owen's T Function and Bivariate Normal Integral

Janez Komelj

Last update: 6 December 2023

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

Software version identifier: 1.0, 1.0.1

Description

Computes the Owen's T function or the bivariate normal integral using one of the following: modified Euler's arctangent series, tetrachoric series, or Vasicek's series. For the methods, see Komelj, J. (2023) <doi:10.4236/ajcm.2023.134026> (or reprint <arXiv:2312.00011> with better typography) and Vasicek, O. A. (1998) <doi:10.21314/JCF.1998.015>.

Cites work

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

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