Simultaneous estimation of the mean and the variance in heteroscedastic   Gaussian regression
  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 the basis of the observation of two independent copies of $Y$. Our approach is free of any prior assumption on $s$ but requires that we know some upper bound $\gamma$ on the ratio $\max_i\sigma_i/\min_i\sigma_i$. For example, the choice $\gamma=1$ corresponds to the homoscedastic case where the components of $Y$ are assumed to have common (unknown) variance. In the opposite, the choice $\gamma>1$ corresponds to the heteroscedastic case where the variances of the components of $Y$ are allowed to vary within some range. Our estimation strategy is based on model selection. We consider a family $\{S_m\times\Sigma_m, m\in\mathcal{M}\}$ of parameter sets where $S_m$ and $\Sigma_m$ are linear spaces. To each $m\in\mathcal{M}$, we associate a pair of estimators $(\hat{s}_m,\hat{\sigma}_m)$ of $(s,\sigma)$ with values in $S_m\times\Sigma_m$. Then we design a model selection procedure in view of selecting some $\hat{m}$ among $\mathcal{M}$ in such a way that the Kullback risk of $(\hat{s}_{\hat{m}},\hat{\sigma}_{\hat{m}})$ is as close as possible to the minimum of the Kullback risks among the family of estimators $\{(\hat{s}_m,\hat{\sigma}_m), m\in\mathcal{M}\}$. Then we derive uniform rates of convergence for the estimator $(\hat{s}_{\hat{m}},\hat{\sigma}_{\hat{m}})$ over H\"{o}lderian balls. Finally, we carry out a simulation study in order to illustrate the performances of our estimators in practice. 
Xavier Gendre