Gamma.InvCDF

[bojtib]

Returns other value than excel and OpenOffice.
E.g.:

• probability: 0.12
• alfa: 2
• beta: 3

OpenOffice and Excel result: 1.78264358
Mathnet result: 0.19807150889941841

MathNet.Numerics version: 3.17.0

http://accord-framework.net/docs/html/M_Accord_Statistics_Distributions_Univariate_GammaDistribution_InverseDistributionFunction.htm also gives 1.78264358

[cdrnet]

The Gamma distribution can be parameterized either by a shape (alpha) and a rate (beta) or a shape (alpha) and a scale (theta), where the scale is the inverse of the rate. Math.NET offers both when using an instance of the distribution, but the static members offer only the default one, which is shape and rate.

Given your numbers it seems to me what you refer to as beta is actually a scale, not a rate as hinted by the name. You can either convert your scale to a rate by inverting it, or use an instance to make it explicit:

Gamma.InvCDF(2.0, 1/3.0, 0.12) // static function
Gamma.WithShapeScale(2.0, 3.0).InverseCumulativeDistribution(0.12) // instance method

Both return 1.78264358009477.