Michael Sørensen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
Barndorff-Nielsen, O. & Sørensen, Michael, 1994, In: International Statistical Review. 62, 1, p. 133-165Research output: Contribution to journal › Journal article › Research › peer-review
Information quantities in non-classical settings
Barndorff-Nielsen, O. & Sørensen, Michael, 1991, In: Computational Statistics & Data Analysis. 12, 2, p. 143-158Research output: Contribution to journal › Journal article › Research › peer-review
Parametric Modelling of Turbulence
Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1990, In: PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL AND PHYSICAL SCIENCES. 332, 1627, p. 439-455Research output: Contribution to journal › Journal article › Research › peer-review
Normal variance-mean mixtures and z-distributions
Barndorff-Nielsen, O., Kent, J. & Sørensen, Michael, 1982, In: International Statistical Review. 50, 2, p. 145-159Research output: Contribution to journal › Journal article › Research › peer-review
Wind shear and hyperbolic distributions
Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1989, In: Boundary-Layer Meteorology. 49, 4, p. 417-431Research output: Contribution to journal › Journal article › Research › peer-review
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Some stationary processes in discretely and continuous time
Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1998, In: Advances in Applied Probability. 30, p. 989-1007Research output: Contribution to journal › Journal article › Research › peer-review
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Diffusion-type models with given marginal distribution and autocorrelation function
Bibby, B. M., Skovgaard, I. M. & Sørensen, Michael, 2005, In: Bernoulli. 11, 2, p. 191-220 10 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Simplified estimating functions for diffusion models with a high-dimensional parameter
Bibby, B. M. & Sørensen, Michael, 2001, In: Scandinavian Journal of Statistics. 28, 1, p. 99-112 14 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Hyperbolic Processes in Finance
Bibby, B. M. & Sørensen, Michael, 2003, Handbook of Heavy Tailed Distributions in Finance. Elsevier, p. 211-248Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Statistical inference for discretely observed Markov jump processes
Bladt, M. & Sørensen, Michael, 2005, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 37, 3, p. 395-410Research output: Contribution to journal › Journal article › Research › peer-review
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Simulation of multivariate diffusion bridges
Bladt, M., Finch, S. T. J. & Sørensen, Michael, 2016, In: Journal of the Royal Statistical Society, Series B (Statistical Methodology). 78, 2, p. 343–369Research output: Contribution to journal › Journal article › Research › peer-review
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Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bladt, M. & Sørensen, Michael, 2014, In: Bernoulli. 20, 2, p. 645-675Research output: Contribution to journal › Journal article › Research › peer-review
On the Incubation Time Distribution and the Danish AIDS Data
Boldsen, J. L., Jensen, J. L., Søgaard, J. & Sørensen, Michael, 1988, In: Journal of the Royal Statistical Society - Series A. 151, 1, p. 42-43Research output: Contribution to journal › Journal article › Research › peer-review
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Empirical Process Techniques for Dependent Data
Dehling, H. G. (ed.), Mikosch, Thomas Valentin (ed.) & Sørensen, Michael (ed.), 2002, Boston: Birkhäuser Verlag. 545 p.Research output: Book/Report › Anthology › Research › peer-review
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Inference for Observations of Integrated Diffusion Processes
Ditlevsen, Susanne & Sørensen, Michael, 2004, In: Scandinavian Journal of Statistics. Vol. 31, p. 417-429Research output: Contribution to journal › Journal article › Research › peer-review
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Editorial to: Six papers on Dynamic Statistical Models: Special issue of Scandinavian Journal of Statistics, 41(1), 22, 2014
Ditlevsen, Susanne (ed.), Scheike, Thomas (ed.) & Sørensen, Michael (ed.), 2014, In: Scandinavian Journal of Statistics. 41, 1Research output: Contribution to journal › Journal article › Research › peer-review
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A transformation approach to modeling multi-modal diffusions
Forman, Julie Lyng & Sørensen, Michael, 2014, In: Journal of Statistical Planning and Inference. 146, p. 56-69Research output: Contribution to journal › Journal article › Research › peer-review
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The Pearson diffusions: A class of statistically tractablediffusion processes
Forman, Julie Lyng & Sørensen, Michael, 2008, In: Scandinavian Journal of Statistics. 35, p. 438 - 465Research output: Contribution to journal › Journal article › Research › peer-review
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Toroidal Diffusions and Protein Structure Evolution
Garcia Portugues, E., Golden, M., Sørensen, Michael, Mardia, K. V., Hamelryck, Thomas Wim & Hein, J., 2018, Applied Directional Statistics: Modern Methods and Case Studies. Ley, C. & Verdebout, H. (eds.). CRC Press, 34 p.Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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Langevin diffusions on the torus: estimation and applications
García-Portugués, E., Sørensen, Michael, Mardia, K. V. & Hamelryck, Thomas Wim, 2019, In: Statistics and Computing. 29, 1, p. 1-22 22 p.Research output: Contribution to journal › Journal article › Research › peer-review
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A Generative Angular Model of Protein Structure Evolution
Golden, M., Garcia-Portugues, E., Sørensen, Michael, Mardia, K. V., Hamelryck, Thomas Wim & Hein, J., Aug 2017, In: Molecular Biology and Evolution. 34, 8, p. 2085-2100Research output: Contribution to journal › Journal article › Research › peer-review
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Contribution to the discussion of a paper by Kou, Xie and Liu
Jacobsen, Martin & Sørensen, Michael, 2005, In: Journal of the Royal Statistic Society, Series C: Applied Statistics. 54, p. 502-503Research output: Contribution to journal › Journal article › Research › peer-review
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A review of asymptotic theory of estimating functions
Jacod, J. & Sørensen, Michael, 2018, In: Statistical Inference for Stochastic Processes. 21, 2, p. 415-434Research output: Contribution to journal › Journal article › Research › peer-review
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Likelihood Ratio Tests in Curved Exponential Families with Nuisance Parameters Present Only Under the Alternative [introduction}
Jakobsen, N. M. & Sørensen, Michael, 2017, Inference, Asymptotics, and Applications: Selected Papers of Ib Michael Skovgaard, with Introductions by his Colleagues. Reid, N. & Martinussen, T. (eds.). World Scientific, p. 301-307Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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Efficient estimation for diffusions sampled at high frequency over a fixed time interval
Jakobsen, N. M. & Sørensen, Michael, 2017, In: Bernoulli. 23, 3, p. 1874-1910 37 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Estimating functions for jump–diffusions
Jakobsen, N. M. & Sørensen, Michael, 2019, In: Stochastic Processes and Their Applications. 129, p. 3282–3318Research output: Contribution to journal › Journal article › Research › peer-review
Estimation of some aeolian saltation transport parameters: a re-analysis of Williams' data
Jensen, J. L. & Sørensen, Michael, 1986, In: Sedimentology. 33, 4, p. 547-558Research output: Contribution to journal › Journal article › Research › peer-review
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Prediction-based estimation for diffusion models with high-frequency data
Jorgensen, E. S. & Sørensen, Michael, 2021, In: Japanese Journal of Statistics and Data Science. 4, 1, p. 483-511Research output: Contribution to journal › Journal article › Research › peer-review
On Effects of Discretization on Estimators of Drift Parameters for Diffusion Processes
KLOEDEN, P. E., PLATEN, E., SCHURZ, H. & Sørensen, Michael, 1996, In: Journal of Applied Probability. 33, 4, p. 1061-1076Research output: Contribution to journal › Journal article › Research › peer-review
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Estimation for Discretely observed Diffusions using Transform Functions
Kelly, L., Platen, E. & Sørensen, Michael, 2004, In: Journal of Applied Probability. 41A, p. 99-118Research output: Contribution to journal › Journal article › Research › peer-review
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Estimating equations based on eigenfunctions for a discretely observed diffusion process
Kessler, M. & Sørensen, Michael, 1999, In: Bernoulli. 5, 2, p. 299-314Research output: Contribution to journal › Journal article › Research › peer-review
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On Time-Reversibility and Estimating Functions for Markov Processes
Kessler, M. & Sørensen, Michael, 2005, In: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 8, 1, p. 95-107Research output: Contribution to journal › Journal article › Research › peer-review
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A note on limit theorems for multivariate martingales
Küchler, U. & Sørensen, Michael, 1999, In: Bernoulli. 5, 3, p. 483-493 11 p.Research output: Contribution to journal › Journal article › Research › peer-review
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Stock returns and hyperbolic distributions
Küchler, U., Neumann, K., Sørensen, Michael & Streller, A., 1999, In: Mathematical and Computer Modelling. 29, 10-12, p. 1-15Research output: Contribution to journal › Journal article › Research › peer-review
Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
Küchler, U. & Sørensen, Michael, 1989, In: International Statistical Review. 57, 2, p. 123-144Research output: Contribution to journal › Journal article › Research › peer-review
Exponential Families of Stochastic Processes with Time-Continuous Likelihood Functions
Küchler, U. & Sørensen, Michael, 1994, In: Scandinavian Journal of Statistics. 21, 4, p. 421-431Research output: Contribution to journal › Journal article › Research › peer-review
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Statistical inference for discrete-time samples from affine stochastic delay differential equations
Küchler, U. & Sørensen, Michael, 2013, In: Bernoulli. 19, 2, p. 409 - 425Research output: Contribution to journal › Journal article › Research › peer-review
Exponential families of stochastic processes and Lévy processes
Küchler, U. & Sørensen, Michael, 1994, In: Journal of Statistical Planning and Inference. 39, 2, p. 211-237Research output: Contribution to journal › Journal article › Research › peer-review
On Exponential Families of Markov Processes
Küchler, U. & Sørensen, Michael, 1998, In: Journal of Statistical Planning and Inference. 66, 1, p. 3-19Research output: Contribution to journal › Journal article › Research › peer-review
Curved exponential families of stochastic processes and their envelope families
Küchler, U. & Sørensen, Michael, 1996, In: Annals of the Institute of Statistical Mathematics. 48, 1, p. 61-74Research output: Contribution to journal › Journal article › Research › peer-review
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Obituary: Ole Barndorff-Nielsen 1935-2022
Labouriau, R., Sørensen, Michael & Thorbjørnsen, S., 2022, In: IMS Bulletin. 71, 7, p. 67 3 p.Research output: Contribution to journal › Journal article › Communication
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Ole Eiler Barndorff-Nielsen, 1935-2022
Lauritzen, Steffen & Sørensen, Michael, Oct 2022, In: Journal of the Royal Statistical Society. Series A: Statistics in Society. 185, 4, p. 2289-2291Research output: Contribution to journal › Journal article › Communication
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Probabilistic modeling of bed-load composition
McEwan, I., Sørensen, Michael, Heald, J., Tait, S., Cunningham, G., Goring, D. & Willetts, B., 2004, In: Journal of Hydraulic Engineering (New York). 130, 2, p. 129-139Research output: Contribution to journal › Journal article › Research › peer-review
Statistical Analysis of a Spatial Birth-and-Death Process Model with a View to Modelling Linear Dune Fields
Møller, J. .. & Sørensen, Michael, 1994, In: Scandinavian Journal of Statistics. 21, 1, p. 1-19Research output: Contribution to journal › Journal article › Research › peer-review
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Dynamics of Particles in Aeolian Saltation
Rasmussen, K. R. & Sørensen, Michael, 2005, Powders and Grains 2005. García-Rojo, R., Herrmann, H. J. & McNamara, S. (eds.). A.A. Balkema: <Forlag uden navn>, Vol. 2. p. 967-972Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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Aeolian Mass Transport near the Saltation Threshold
Rasmussen, K. R. & Sørensen, Michael, 1999, In: Earth Surface Processes and Landforms. 24, 5, p. 413-422Research output: Contribution to journal › Journal article › Research › peer-review
Martingale estimating functions for discretely observed diffusion processes
Sørensen, Michael & Bibby, B. M., 1995, In: Bernoulli. 1, p. 17-39Research output: Contribution to journal › Journal article › Research › peer-review
On estimation for discretely observed diffusions: A review
Sørensen, Michael & Bibby, B. M., 1996, In: Theory of Stochastic Processes. 2, p. 49-56Research output: Contribution to journal › Journal article › Research › peer-review
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Martingale estimating functions for discretely observed stochastic differential equation models
Sørensen, Michael, 2004, International Minicourse-Workshop. Interplay between (C0)-semigroups and PDEs theory and applications. Rom: Aracne editrice, p. 213-236Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
A semimartingale approach to some problems in risk theory
Sørensen, Michael, 1996, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 26, p. 15-23Research output: Contribution to journal › Journal article › Research › peer-review
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Efficient estimation for diffusions sampled at high frequency over a fixed time interval
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A Generative Angular Model of Protein Structure Evolution
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A review of asymptotic theory of estimating functions
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