I'm using the package 'locfit' for nonparametric regression. This package
contains the function 'scb' to compute simultaneous confidence bands.
The variance of the data is unknown. Up to now I compute a fit with
'locfit'. Afterwards an estimate of the residual variance is computed by the
function 'rv'. The weights in the 'scb'-function are set 1/sigma^2 to
compute the confidence band.
Is this procedure correct or is there any other way to compute confidence
bands with unknown variance?
Thanks very much for any help you can offer.