Variance function estimation in nonparametric regression is considered and
the minimax rate of convergence is derived. We are particularly interested in
the effect of the unknown mean on the estimation of the variance function. Our
results indicate that, contrary to the common practice, it is not desirable to
base the estimator of the variance function on the residuals from an optimal
estimator of the mean when the mean function is not smooth. Instead it is more
desirable to use estimators of the mean with minimal bias. On the other hand,
when the mean function is very smooth, our numerical results show that the
residual-based method performs better, but not substantial better than the
first-order-difference-based estimator. In addition our asymptotic results also
correct the optimal rate claimed in Hall and Carroll [J. Roy. Statist. Soc.
Ser. B 51 (1989) 3--14].Comment: Published in at http://dx.doi.org/10.1214/009053607000000901 the
Annals of Statistics (http://www.imstat.org/aos/) by the Institute of
Mathematical Statistics (http://www.imstat.org
