Victor H. de la Pena


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I am a Professor of Statistics at Columbia University CV - Click Here


Research Interests

Foundations: Inequalities in Probability and Statistics, Sequential Analysis, Boundary Crossing and

Change Point Problems, U-Statistics and Processes, Self-Normalized Processes, General Dependence

Structures Including Martingales, Decoupling, Copulas.

Applications: Managing Risk in Complex Systems, Banking, Actuarial Sciences, Earth Sciences, Climatology

Global Warming.

For a brief description of my current recent interests click here


Recent Publications

Inequalities for Self-Normalized Processes

Characterization of joint distributions, copulas, information and decoupling with applications to time series

International diversification: A copula approach

Detecting shifts in correlation and variability with application to ENSO-monsoon rainfall relationships

Option bounds

Quality control of risk measures: Backtesting VAR-models



Decoupling: From Dependence to Independence

Self-Normalized Processes: Limit Theory and Statistical Application


Other Interests