Description
Evaluates funtion T(h,a) studied by D.B.OwenUsage
T.Owen(h, a, jmax=50, cut.point=6)
Arguments
h
a numerical vector. Missing values (NAs) and Inf are allowed.
a
a numerical scalar. Inf is allowed.
jmax
an integer scalar value which regulates the accuracy of the result.
See DETAILS below for explanation.
cut.point
a scalar value which regulates the behaviour of the algorithm.
See DETAILS below for explanation.
BACKROUND
The function T(h,a) is useful for the computation of the bivariate
normal distribution function and related quantities.
See the reference below for more information.Details
If a>1 and 0, a series expansion is used,
truncated after jmax terms.
If a>1 and h>cut.point, an asymptotic approximation is used.
In the other cases, various reflection properties of the function
are exploited. See the reference below for more information.References
Owen, D. B. (1956).
Tables for computing bivariate normal probabilities.
Ann. Math. Statist.
27, 1075-1090.