In this paper, we consider the cosine modulated filter bank (CMFB) transceiver for unknown channels. Although it is a CMFB transceiver, the only channel dependent part of the transceiver is a set of scalar multipliers at the receiver, like the OFDM. We show how to optimize the transmit and receive prototype filters so that the signal to interference ratio (SIR) is maximized. Moreover a new objective function that can incorporate the frequency response criteria is proposed. Simulation results show that we can obtain CMFB transceivers with high SIR values and good frequency responses.