Michael Sørensen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
A note on the existence of a consistent maximum likelihood estimator for diffusions with jumps
Sørensen, Michael, 1989, Markov Processes and Control Theory. Langer, H. & Nollau, V. (eds.). Berlin: Akademie Verlag, p. 229-234Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research › peer-review
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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
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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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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
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Estimating functions for discretely observed diffusions: A review.
Sørensen, Michael, 1997, Selected Proceedings of the Symposium on Estimating Functions. IMS Lecture Notes - Monograph Series. Basawa, I. W., Godambe, V. P. & Taylor, R. L. (eds.). Hayward, California: Institute of Mathematical Statistics, Vol. 32. p. 305-325Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
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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
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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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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
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
- 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
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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