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As reported by Laurent Condamin:
"The meaning of the parameter for the Gamma distribution are different for the sampler cern.jet.random.tdouble.Gamma.nextDouble() and for the statistical distribution cern.jet.stat.tdouble.Probability.gamma(). alpha and beta parameters are mingled in the
cern.jet.stat.tdouble.Probability.gamma(). As a consequence, when you invoke
cern.jet.random.tdouble.Gamma.cdf(x), it invokes cern.jet.stat.tdouble.Probability.gamma(alpha,beta,x) whereas gamma() mingles alpha and beta.
To get the good result, cern.jet.random.tdouble.Gamma.cdf(x) should
invoke cern.jet.stat.tdouble.Probability.gamma(beta,alpha,x)."
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