As a follow on Estimate the Transfer Function of an Unknown System which os estimating a transfer function of an unknown system using a Wiener filter,
- The desired MSE is application dependent, so there can be no general rule. If the approximation doesn't satisfy your needs you can increase the filter length to obtain a better match.
- There is no straightforward way to change the FIR Wiener filter solution to an IIR solution because the IIR formulation results in a set of nonlinear equations which have no closed-form solution. The IIR solution might also be unstable, so FIR filters are a much more practical choice when computing a Wiener filter.