Phase-Type Variational Autoencoders for Heavy-Tailed Data

ArXi:2603.01800v2 Announce Type: replace-cross Heavy-tailed distributions are ubiquitous in real-world data, where rare but extreme events dominate risk and variability. However, standard Variational Autoencoders (VAEs) employ simple decoder distributions, such as Gaussian distributions, that fail to capture heavy-tailed behavior, while existing heavy-tail-aware extensions remain restricted to predefined parametric families whose tail behavior is fixed a priori.