Michael Sørensen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
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On asymptotics of estimating functions
Sørensen, Michael, 1999, In: Brazilian Journal of Probability and Statistics. 13, p. 111-136Research output: Contribution to journal › Journal article › Research › peer-review
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On comparison of stopping times in sequential procedures for exponential families of stochastic processes.
Sørensen, Michael, 1998, In: Scandinavian Journal of Statistics. 25, 2, p. 331-343Research output: Contribution to journal › Journal article › Research › peer-review
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Diffusion models for exchange rates in a target zone
Sørensen, Michael & Larsen, K. S., 2007, In: Mathematical Finance. 17, p. 285 - 306Research output: Contribution to journal › Journal article › Research › peer-review
On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes
Sørensen, Michael, 1986, In: International Statistical Review. 54, 2, p. 191-210Research output: Contribution to journal › Journal article › Research › peer-review
Likelihood methods for diffusions with jumps
Sørensen, Michael, 1991, Statistical Inference in Stochastic Processes. Prabhu, N. U. & Basawa, I. V. (eds.). New York: Marcel Dekker, p. 67-105Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
Some asymptotic properties of quasi likelihood estimators for semimartingales
Sørensen, Michael, 1989, Proceedings of the Fourth Prague Symposium on Asymptotic Statistics. Mandel, P. & Husková, M. (eds.). Prague: Charles University, p. 469-479Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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Exponential Families of Stochastic Processes
Sørensen, Michael & Küchler, U., 1997, New York: Springer. 322 p.Research output: Book/Report › Book › Research › peer-review
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Estimating functions for discretely sampled diffusion-type models
Sørensen, Michael, Jacobsen, Martin & Bibby, B. M., 2010, Handbook of Financial Econometrics. Ait-Sahalia, Y. & Hansen, L. P. (eds.). Oxford: North-Holland, Vol. 1. p. 203 - 268Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
On the effect of time variability of the wind on rates of aeolian sand transport
Sørensen, Michael, 1997, In: Aarhus Geoscience. 7, p. 73-77Research output: Contribution to journal › Journal article › Research › peer-review
Stochastic Models of Sand Transport by Wind and Two Related Estimation Problems
Sørensen, Michael, 1993, In: International Statistical Review. 61, 2, p. 245-255Research output: Contribution to journal › Journal article › Research › peer-review
ID: 5251
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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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