An interesting topic in data science is vine copulas. They are an extension of the Gaussian Copula.
Don't know what a copula is? No Problem.
A copula is simply a multivariate cumulative probability distribution with some special probabilistic properties.
Vine copulas have been used in portfolio optimization problems to model tail risk.
Don't know what a copula is? No Problem.
A copula is simply a multivariate cumulative probability distribution with some special probabilistic properties.
Vine copulas have been used in portfolio optimization problems to model tail risk.
