The literature on multivariate linear regression includes multivariate normal models, models that are used in survival analysis and a variety of models that are used in other areas such as econometrics. The paper considers the class of location-scale models, which includes a large proportion of...

type="main" xml:id="rssb12066-abs-0001" <title type="main">Summary</title> <p>We consider heteroscedastic regression models where the mean function is a partially linear single-index model and the variance function depends on a generalized partially linear single-index model. We do not insist that the variance function...</p>