The application presented in our paper is based on real-world data from Saudi stock market. In 2007, the minimum amount of change was 0.25 SR (Saudi Riyal) for all stocks. The daily close price as number of ticks (ticks=close price*4) in 2007 for Saudi Telecommunication Company (STC) stock is considered. Note that these data were originally introduced by: Alzaid, A. A., and Omair, M. A. (2014). Poisson difference integer valued autoregressive model of order one. Bulletin of the Malaysian Mathematical Sciences Society, 37(2), 465- 485. After examination of the time series plot of the original data (descripted above), authors (Alzaid and Omair (2014)) notice a non-stationarity in the mean Thus, authors considered that differencing is needed. The differenced data used by authors (Alzaid and Omair (2014)) is also that presented in the application.
The R code used to estimate parameters of EP-RBINAR(1) process from
the real-data presented above. Explicitly, function pep and cmle allow to find the conditional maximum likelihood estimates
