Michael Sørensen

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Current research

Statistical methods for stochastic processes. Discrete time sampling of continuous time processes such as models given by stochastic differential equations and jump processes. Directional processes. Diffusion bridges. Estimating functions and simulation-based inference. 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

   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 › peer-review

2. Published

   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. 2085-2100

   Research output: Contribution to journal › Journal article › peer-review

3. Published

   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. 343–369

   Research output: Contribution to journal › Journal article › peer-review

4. Published

   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 › peer-review

5. Published

   Estimating functions for jump–diffusions

   Jakobsen, N. M. & Sørensen, Michael, 2019, In: Stochastic Processes and Their Applications. 129, p. 3282–3318

   Research output: Contribution to journal › Journal article › peer-review

6. Published

   A review of asymptotic theory of estimating functions

   Jacod, J. & Sørensen, Michael, 2018, In: Statistical Inference for Stochastic Processes. 21, 2, p. 415-434

   Research output: Contribution to journal › Journal article › peer-review

7. Published

   Estimating functions for diffusion-type processes

   Sørensen, Michael, 2012, Statistical Methods for Stochastic Differential Equations. Kessler, M., A. L. & Sørensen, M. (eds.). CRC Press, p. 1 - 107 107 p. (Monographs on Statistics and Applied Probability, Vol. 124).

   Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review