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The unknown parameters are \\(\\beta\\), \\(\\sigma^ 2\\) and \\(\\theta\\). The authors are particularly interested in the following case:  \\[  \\Sigma^{- 1}(\\theta)=I_ n+\\lambda_ n(\\theta)C  \\]  where \\(\\lambda_ n\\) is a real continuous function.    First the ordinary least squares estimator of \\(\\theta\\), say \\({\\hat \\theta}\\), is calculated; then the estimator of \\(\\beta\\) is the generalized least squares estimator with the metric defined by the matrix \\(\\Sigma\\) (\\({\\hat \\theta}\\)) and the quadratic risk, say R, is the \\(k\\times k\\) matrix \\(R=E[({\\hat \\beta}-\\beta)({\\hat \\beta}-\\beta)'].\\)    The main result concerns an upper bound and a lower bound for R, in terms of nonnegative definiteness of matrices. The autoregressive models where the errors are i.i.d. \\(N(0,\\sigma^ 2)\\) and the heteroscedastic regression models play the role of 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