Stochastic Ordering of Stationary Distributions of Linear Recurrences: Further Results and Economic Applications
We investigate pairwise stochastic comparisons of Waterproof Connector stationary solutions to the linear recurrence Xt+1=AtXt+Bt, where At and Bt are non-negative random variables.We establish novel order-preserving properties, which enable us to obtain comparison theorems about well-known measures of conditional size, tail variability and skewnes