# Minimax Robust Quickest Change Detection using Wasserstein Ambiguity Sets

arXiv: https://arxiv.org/abs/2204.13034 · HTML: https://mlsanity.com/paper/2204.13034/

## Key facts

- Cited by 3 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 27 Apr 2022.

## Built on by (most cited first, 3 of 3)

- [Non-Convex Robust Hypothesis Testing using Sinkhorn Uncertainty Sets](https://mlsanity.com/paper/2403.14822/) (2024)
- [Triadic-OCD: Asynchronous Online Change Detection with Provable Robustness, Optimality, and Convergence](https://mlsanity.com/paper/2405.02372/) (2024)
- [RoS-Guard: Robust and Scalable Online Change Detection with Delay-Optimal Guarantees](https://mlsanity.com/paper/2511.12846/) (2025)

## Abstract (arXiv)

We study the robust quickest change detection under unknown pre- and post-change distributions. To deal with uncertainties in the data-generating distributions, we formulate two data-driven ambiguity sets based on the Wasserstein distance, without any parametric assumptions. The minimax robust test is constructed as the CUSUM test under least favorable distributions, a representative pair of distributions in the ambiguity sets. We show that the minimax robust test can be obtained in a tractable way and is asymptotically optimal. We investigate the effectiveness of the proposed robust test over existing methods, including the generalized likelihood ratio test and the robust test under KL divergence based ambiguity sets.