[R] locfit: simultaneous confidence band

[Michael Gälger]

I'm using the package 'locfit' for nonparametric regression. This package
contains the function 'scb' to compute simultaneous confidence bands. 
The variance of the data is unknown. Up to now I compute a fit with
'locfit'. Afterwards an estimate of the residual variance is computed by the
function 'rv'. The weights in the 'scb'-function are set 1/sigma^2 to
compute the confidence band.
Is this procedure correct or is there any other way to compute confidence
bands with unknown variance?

Thanks very much for any help you can offer. 

Michael Gälger