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Owen's T function

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

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

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Applications

The function T(h, a) gives the probability of the event (X > h and 0 < Y < aX) 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]

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Properties

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

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

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References

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