This work seeks to design a pilot signal, under a power constraint, such that the channel can be estimated with minimum mean square error. The procedure we derive does not assume Kronecker structure on the underlying covariance matrices, and the pilot signal is obtained in three main steps. Firstly, we solve a relaxed convex version of the original minimization problem. Secondly, its solution is projected onto the feasible set. Thirdly we use the projected solution as starting point for an augmented Lagrangian method. Numerical experiments indicate that this procedure may produce pilot signals that are far better than those obtained under the Kronecker structure assumption.