Staff at the Department of Mathematical Sciences – University of Copenhagen

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Department of Mathematical Sciences > Staff

Michael Sørensen

Michael Sørensen

Head of Department

Current research

Current research interests:

Statistical inference for stochastic processes, in particular discrete time sampling of continuous time  processes such as models given by stochastic differential equations and jump processes. Estimating functions. Stochastic models and inference problems in the physics of wind blown sand, biology and finance.

 

 

Primary fields of research

Theoretical statistics and applied probility

Selected publications

  1. Published

    Estimating functions for discretely sampled diffusion-type models

    Sørensen, M., Jacobsen, M. & Bibby, B. M. 2010 Handbook of Financial Econometrics. Ait-Sahalia, Y. & Hansen, L. P. (eds.). Oxford: North-Holland, Vol. 1, p. 203 - 268

    Publication: ResearchBook chapter

  2. Published

     A simple estimator for discrete-time samples from affine stochastic delay differential equations

    Sørensen, M. 2010 In : Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems. 13, p. 125-132 8 p.

    Publication: Research - peer-reviewJournal article

  3. Published

     Maximum likelihood estimation for integrated diffusion processes

    Sørensen, M. & Baltazar-Larios, F. 2010 Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen. Chiarella, C. & Novikov, A. (eds.). Springer Science+Business Media B.V., p. 407-423

    Publication: ResearchBook chapter

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