COUNTEREXAMPLES TO ON ESTIMATING NONCAUSAL NONMINIMUM PHASE ARMA MODELS OF NON-GAUSSIAN PROCESSES

In the above-paper,1 an order selection procedure has been proposed for parameter estimation for noncausal, nonminimum phase ARMA models of non-Gaussian processes. We will show that it has been derived under an erroneous assumption, and we also give a counterexample to show that it does not yield a consistent order estimate in general. Two linear approaches for parameter estimation have also been presented in the paper.1 We point out that an existing counterexample to an earlier version of one of the algorithms also applies to both the approaches of the above paper.