Michael Sørensen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2008
- Published
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
- Published
The vertical variation of particle speed and flux density inaeolian saltation: measurement and modeling
Sørensen, Michael & Rasmussen, K. R., 2008, In: Journal of Geophysical Research - Oceans. 113Research output: Contribution to journal › Journal article › Research › peer-review
- 2007
- Published
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
- 2006
- Published
On the Size Distribution of Sand
Sørensen, Michael, 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-11.Research output: Working paper › Research
- 2005
- Published
Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics
Sørensen, Michael, 2005, In: Statistical Science. 20, p. 344-346Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
Contribution to the discussion of the paper "Local model uncertainty and incompletedata bias" by John Copas and Shinto Educhi
Sørensen, Michael, 2005, In: Journal of The Royal Statistical Society Series B-statistical Methodology. 67, p. 500-501Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
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
- Published
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
- Published
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
- 2004
- Published
Diffusion Processes
Sørensen, Michael, 2004, Encyclopedia of Actuarial Science. Wiley, Vol. 1. p. 523-527Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
- Published
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
- Published
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
- Published
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
- Published
On the rate of aeolian sand transport
Sørensen, Michael, 2004, In: Geomorphology. 59, 1, p. 53-62Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Ornstein-Uhlenbeck Process
Sørensen, Michael, 2004, Encyclopedia of actuarial science. Vol 3 (O-Z) ed. Wiley, p. 1229-1230Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research
- Published
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
- 2003
- Published
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
- Published
Small-diffusion asymptotics for discretely sampled stochastic differential equations
Sørensen, Michael & Uchida, M., 2003, In: Bernoulli. 9 (6), p. 1051 - 1069Research output: Contribution to journal › Journal article › Research › peer-review
- 2002
- Published
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
- 2001
- Published
On the rate of aeolian sand transport
Sørensen, Michael, 2001, Actes du 2eme Atelier International. Formation et Migration des Dunes. Moctar, A. O. E. (ed.). <Forlag uden navn>, p. 56-60Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
- Published
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
- 2000
- Published
Prediction-based estimating functions
Sørensen, Michael, 2000, In: Econometrics Journal. 3, p. 123-147Research output: Contribution to journal › Journal article › Research › peer-review
- 1999
- Published
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
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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