Affine estimators minimizing worst-case CVaR of squared error over a type-2 Wasserstein ambiguity set can be exactly computed via tractable SDP when the nominal distribution is finitely supported.
Robust mean-squared error estimation of multiple signals in linear systems affected by model and noise uncertainties,
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Wasserstein Distributionally Robust Risk-Sensitive Estimation via Conditional Value-at-Risk
Affine estimators minimizing worst-case CVaR of squared error over a type-2 Wasserstein ambiguity set can be exactly computed via tractable SDP when the nominal distribution is finitely supported.