Parameter estimation in linear dynamic systems

We give some fairly general circumstances under which the experimental design problem for linear dynamic systems with correlated noise can be put in the exact form of the Kiefer-Wolfowitz experimental design problem. Optimal inputs are characterized in terms of their spectral measures with respect to a resolution of the identity in a certain reproducing kernel Hilbert space. Numerical methods established for the Kiefer-Wolfowitz design problem then apply to the numerical determination of an optimal spectral measure.