tfp.substrates.jax.math.owens_t

Computes Owen's T function of h and a element-wise.

tfp.substrates.jax.math.owens_t(
    h, a, name=None
)

Owen's T function is defined as the combined probability of the event X > h and 0 < Y < a * X, where X and Y are independent standard normal random variables.

In integral form this is defined as 1 / (2 * pi) times the integral of exp(-0.5 * h ** 2 * (1 + x ** 2)) / (1 + x ** 2) from 0 to a. h and a can be any real number

The Owen's T implementation below is based on ([Patefield and Tandy, 2000][1]).

The Owen's T function has several notable properties which we list here for convenience. ([Owen, 1980][2], page 414)

  • P2.1 T( h, 0) = 0
  • P2.2 T( 0, a) = arctan(a) / (2 pi)
  • P2.3 T( h, 1) = Phi(h) (1 - Phi(h)) / 2
  • P2.4 T( h, inf) = (1 - Phi(|h|)) / 2
  • P2.5 T(-h, a) = T(h, a)
  • P2.6 T( h,-a) = -T(h, a)
  • P2.7 T( h, a) + T(a h, 1 / a) = Phi(h)/2 + Phi(ah)/2 - Phi(h) Phi(ah) - [a<0]/2
  • P2.8 T( h, a) = arctan(a)/(2 pi) - 1/(2 pi) int_0^h int_0^{ax} exp(-(x2 + y2)/2) dy dx`
  • P2.9 T( h, a) = arctan(a)/(2 pi) - int_0**h phi(x) Phi(a x) dx + Phi(h)/2 - 1/4

[a<0] uses Iverson bracket notation, i.e., [a<0] = {1 if a<0 and 0 otherwise.

Let us also define P2.10 as:

  • P2.10 T(inf, a) = 0

  • Proof

    Note that result #10,010.6 ([Owen, 1980][2], pg 403) states that: int_0^inf phi(x) Phi(a+bx) dx = Phi(a/rho)/2 + T(a/rho,b) where rho = sqrt(1+b**2). Using a=0, this result is: int_0^inf phi(x) Phi(bx) dx = 1/4 + T(0,b) = 1/4 + arctan(b) / (2 pi) Combining this with P2.9 implies

    T(inf, a)
 =  arctan(a)/(2 pi) - [ 1/4 + arctan(a) / (2 pi)]  + Phi(inf)/2 - 1/4
 = -1/4 + 1/2 -1/4 = 0.

    QED

h A float Tensor defined as in P({X > h, 0 < Y < a X}). Must be broadcastable with a.
a A float Tensor defined as in P({X > h, 0 < Y < a X}). Must be broadcastable with h.
name A name for the operation (optional).

owens_t A Tensor with the same type as h and a,

References

[1]: Patefield, Mike, and D. A. V. I. D. Tandy. "Fast and accurate calculation of Owen’s T function." Journal of Statistical Software 5.5 (2000): 1-25. http://www.jstatsoft.org/v05/i05/paper [2]: Owen, Donald Bruce. "A table of normal integrals: A table." Communications in Statistics-Simulation and Computation 9.4 (1980): 389-419.