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We consider carrier frequency offset (CFO) estimation for single-carrier and single-user transmission over a frequency-selective channel. When training is solely devoted to frequency synchronization, it is important to design the training to optimize CFO estimation performance. In this paper we exhibit the training sequence that minimizes the Cramer-Rao bound associated with the carrier frequency offset and averaged over the channel statistics following a correlated Ricean fading channel model. Simulations show significant improvements compared to the standard pseudo-random white training sequence.