Smoothing spline estimators are considered for inference in varying-coefficient models with one effect modifying covariate. Bayesian 'confidence intervals' are developed for the coefficient curves and efficient computational methods are derived for computing the curve estimators, fitted values,...

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>