Permutation probabilities for gamma random variables

Abstract

The order statistics of a set of independent gamma variables, in general not identically distributed, may serve as a basis for ordering players in a hypothetical game. An alternative formulation in terms of negative binomial variables leads to an expression for the probability that the random gammas are in a given order. This expression may contain rather many terms and some approximations are discussed — firstly as the gamma parameters αi tend to equality with all ni the same, and secondly when the probability of an inversion is small. In another interpretation the probabilities discussed arise in the statement of confidence limits for the ratios of population variances, and here the inversion probability is small enough usually that lower and upper bounds may be given for the probability that the sample variances occur in their expected order. These bounds are calculated from the probability that two variables are in expected order, and for gamma variables this probability is obtained from the F-distribution.