One of the problems I've run into in my current work is that statistics deals with problems a lot like the drunk man looking for his keys under the lamp. As fa

One of the problems I've run into in my current work is that statistics deals with problems a lot like the drunk man looking for his keys under the lamp. As far as I can tell there is one man in the entire world who works on stable distributions (like normal distributions, but with tunable skew and heavy-tailedness parameters), which have been quite useful for me. If you have or believe you have data that has subtle dependencies among the random variables, you could use a copula but multivariate Archimedian copulas are hard to compute with (far as we've been able to tell, at least), copula fitting is a research problem, and copula choice is black magic.