Geodesic
On a confidence estimation in a~general linear regression model with nonhomogeneous variances
Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 2, pp. 384-388

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We consider the estimation of the parameter vector $\beta$ when the variances are not necessary equal. The corresponding solution is of the asymptotical character: it is based on an asymptotically efficient estimator of $\beta$ which depends on all observations. 
@article{TVP_1982_27_2_a23,
     author = {V. I. Pagurova},
     title = {On a confidence estimation in a~general linear regression model with nonhomogeneous variances},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {384--388},
     publisher = {mathdoc},
     volume = {27},
     number = {2},
     year = {1982},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_1982_27_2_a23/}
}
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V. I. Pagurova. On a confidence estimation in a~general linear regression model with nonhomogeneous variances. Teoriâ veroâtnostej i ee primeneniâ, Tome 27 (1982) no. 2, pp. 384-388. http://geodesic.mathdoc.fr/item/TVP_1982_27_2_a23/