MingHua Chen(1),Zhe Ren(1),Shu
Consider the heteroscedastic regression model: y i=x iβ+g(t i)+σ ie i,1in , where σ 2 i=f(u i) . Here the design points (x i,t i,u i) are known and nonrandom, g and f are unknown functions, and e i is an unobserved disturbance. For the least squares estimator n and the weighted least squares estimator n of β given in based on the family of nonparametric estimates of g(·) and f(·) , we establish their strong consistency under suitable conditions.