Juutilainen, Ilmari; Roning, Juha - In: Journal of Applied Statistics 37 (2010) 6, pp. 983-997
This study considers regression-type models with heteroscedastic Gaussian errors. The conditional variance is assumed to depend on the explanatory variables via a parametric or non-parametric variance function. The variance function has usually been selected on the basis of the log-likelihoods...