A Least Squares Method for Variance Estimation in Heteroscedastic Nonparametric Regression

Figure 1

Plots of the relative MSEs of the estimators versus the location 𝑗 for 𝑛=30. The dotted, dashed, and solid lines correspond to 𝜎²₁, 𝜎²₂, and 𝜎²_TW, respectively.

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