Simultaneous estimation of the mean and the variance in heteroscedastic Gaussian regression

Xavier Gendre

Let $Y$ be a Gaussian vector of ${\mathbb{R}}^n$ of mean $s$ and diagonal covariance matrix $\Gamma$. Our aim is to estimate both $s$ and the entries ${\sigma }_i={\Gamma }_{i,i}$, for $i=1,...,n$, on th…