  In this paper the problem of best linear unbiased estimation is investigated
for continuous-time regression models. We prove several general statements
concerning the explicit form of the best linear unbiased estimator (BLUE), in
particular when the error process is a smooth process with one or several
derivatives of the response process available for construction of the
estimators. We derive the explicit form of the BLUE for many specific models
including the cases of continuous autoregressive errors of order two and
integrated error processes (such as integrated Brownian motion). The results
are illustrated by several examples.
