Owen's Q-function via repeated integration by parts

Share:

Description

This is an implementation of the algorithm given in Owen's original paper (Biometrica 1965) via repeated integration by parts.

Usage

1
OwensQOwen(nu, t, delta, a=0, b)

Arguments

nu

degree of Owen's Q

t

parameter t

delta

parameter delta

a

lower integration limit.
Only a=0 implemented, other values give an error.

b

upper integration limit

Value

numeric value of Owen's Q function.

Note

The argument a=0 could be dropped but is retained for sake of completeness.

Note

This function is mainly for comparative / validation purposes.
The function needs OwensT() function.

Author(s)

D. Labes

References

Owen D B
"A Special Case of a Bivariate Non-central t-Distribution"
Biometrika Vol. 52, 1965, pp.437-446.
\Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("10.2307/2333696")}

See Also

OwensQ, OwensT

Examples

1
2
3
4
# comparison of the results of both implementations
# both should give [1] 0.0731726
OwensQ(2, 2.92, 4.2135, 0, 2.0407)
OwensQOwen(2, 2.92, 4.2135, 0, 2.0407)

Want to suggest features or report bugs for rdrr.io? Use the GitHub issue tracker.