Expand description
This crate provides an implementation of:
- Owen’s T function
- The bivariate normal CDF function (using Owen’s T)
Structs§
- BivNorm
Arg - Argument to
biv_normwhich will be used repeatedly, and caches some re-used values. - BivNorm
Rho - Rho argument to biv_norm which will be used repeatedly, and caches some re-used values.
Functions§
- biv_
norm - Compute bivariate normal CDF, using Owens’ T function.
This is Pr[ X > x, Y > y] when X and Y are standard normals of correlation coefficient
rho. - biv_
norm_ inner - Version of biv_norm which allows re-using some computation when the same value of x or y is used repeatedly.
- owens_t
- Port from lib boost math (https://live.boost.org/doc/libs/1_81_0/boost/math/special_functions/owens_t.hpp)
- owens_
t_ inner - Same as
owens_t, but if you already have an evaluation of znorm1(|h|), then this will save some cycles in the cases when a >= 1.