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R.J. Carroll 575(Carroll, 2003). In the transformation world, it led David and me to a paper(Carroll and Ruppert, 1984), and also led to 1/2 of our first book: Transformationand Weighting in Regression. Dirklatersetusuponanotherproject,managing the Atlantic menhaden fishery, with a brilliant young colleague of hisnamed Rick Deriso, now Chief Scientist, Tuna-Billfish Program, at the Inter-American Tropical Tuna Commission (IATTC) (Reish et al., 1985; Ruppertet al., 1984, 1985).47.6 Get fascinated: HeteroscedasticityFrom the experience with what I call the salinity data, I became fascinatedwith the concept of heteroscedasticity. I went on a sabbatical to Heidelberg in1980, and bereft of being able to work directly with David, started thinkinghard about modeling variances. I asked what I thought was an obvious question:can one do weighted least squares efficiently without positing a parametricmodel for the variances? David and I had already figured out thatthe common practice of positing a model for the variances as a function ofthe mean and then doing normal-theory maximum likelihood was non-modelrobustif the variance function was misspecified (Carroll and Ruppert, 1982).I sat in my nice office in Heidelberg day after day, cogitating on the problem.For a month I did nothing else (the bliss of no email), and wrote a paper(Carroll, 1982) that has many references. In modern terms it is not muchof a technical “tour de force,” and modern semiparametric statisticians haverecognized that this is a case where adaptation is obvious, but at the time itwas very new and surprising, and indeed a very, very senior referee did notthink it was true, but he could not find the flaw. The Editor of The Annals ofStatistics, to whom I am forever grateful for sticking up for me, insisted thatIwriteoutaverydetailedproof,whichturnedouttobeover100pagesbyhand, and be prepared to make it available, make a copy and send it along.I still have it! The paper is mostly cited by econometricians, but it was fun.Later, with my then student Marie Davidian, currently the ASA President,we worked out the theory and practice of parametric variance functionestimation (Davidian and Carroll, 1987).47.7 Find smart subject-matter collaboratorsIn many fields of experimental science, it is thought that the only way to advanceis via solving a so-called “major” problem. In statistics though, “major”problems are not defined apriori.Iftheyexist,thenmanyverysmartpeople