While researching a topic in probability, I encountered a special mathematical function that I had not previously known about. The function is called Owen's T function (Owen, 1956, Ann. Math. Stat.). It is useful for computing multivariate probabilities, for defining the skew-normal distribution, and for computing probabilities associated with certain

The classical multivariate normal (MVN) distribution is a standard model for correlated data. It is a simple model, it is easy to fit the MVN model to data, and the parameters in the model (locations and correlations) are intuitive. Of course, normality is a strong assumption that is not always