C# Класс Accord.Math.OwensT

Owen's T function and related functions.

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

1 a exp{-0.5 h²(1+x²) T(h, a) = ---- ∫ ------------------- dx 2π 0 1 + x²

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 and, from there, in the calculation of multivariate normal distribution probabilities. It also frequently appears in various integrals involving Gaussian functions.

The code is based on the original FORTRAN77 version by Mike Patefield, David Tandy; and the C version created by John Burkardt. The original code for the C version can be found at http://people.sc.fsu.edu/~jburkardt/c_src/owens/owens.html and is valid under the LGPL.

References: http://people.sc.fsu.edu/~jburkardt/c_src/owens/owens.html Mike Patefield, David Tandy, Fast and Accurate Calculation of Owen's T Function, Journal of Statistical Software, Volume 5, Number 5, 2000, pages 1-25.

Показать файл Открыть проект

Открытые методы

Метод	Описание
Function ( double h, double a ) : double	Computes Owen's T function for arbitrary H and A.
Function ( double h, double a, double ah ) : double	Owen's T function for a restricted range of parameters.

Описание методов

Function() публичный статический Метод

Computes Owen's T function for arbitrary H and A.

public static Function ( double h, double a ) : double
h	double	Owen's T function argument H.
a	double	Owen's T function argument A.
Результат	double

Function() публичный статический Метод

Owen's T function for a restricted range of parameters.

public static Function ( double h, double a, double ah ) : double
h	double	Owen's T function argument H (where 0 <= H).
a	double	Owen's T function argument A (where 0 <= A <= 1).
ah	double	The value of A*H.
Результат	double