In this paper, pilot-assisted transmission over Gauss-Markov Rayleigh fading channels is considered. A simple scenario, where a single pilot signal is transmitted every T symbols and T - 1 data symbols are transmitted in between the pilots, is studied. First, it is assumed that binary phase-shift keying (BPSK) modulation is employed at the transmitter. With this assumption, the training period, and data and training power allocation are jointly optimized by maximizing an achievable rate expression. Achievable rates and energy-per-bit requirements are computed using the optimal training parameters. Secondly, a capacity lower bound is obtained by considering the error in the estimate as another source of additive Gaussian noise, and the training parameters are optimized by maximizing this lower bound.