This post looks at computing P(X > Y) where X and Y are gamma random variables. These inequalities are central to the Thall-Wooten method of monitoring single-arm clinical trials with time-to-event outcomes. They also are central to adaptively randomized clinical trials with time-to-event outcomes.
When X and Y are gamma random variables P(X > Y) can be computed in terms of the incomplete beta function. Suppose X has shape αX and scale βX and Y has shape αY and scale βY. Then βXY/(βX Y+ βYX) has a beta(αY, αX) distribution. (This result is well-known in the special case of the scale parameters both equal to 1. I wrote up the more general result here but I don’t imagine I was the first to stumble on the generalization.) It follows that
P(X < Y) = P(B < βX/(βX+ βY))
where B is a beta(αY, αX) random variable.
For more details, see Numerical evaluation of gamma inequalities.
Previous posts on random inequalities: