Apologies for coming to this so late...
Variance is rarely known in real life data. You should really consult the
book `Local Regression and Likelihood' by Prof. Loader for the details on
simultaneous confidence bands. `Locfit' is the support software for that
book.
Andy
From: 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
