Michael Sørensen
Professor
Department of Mathematical Sciences
Universitetsparken 5
2100 København Ø
- 2021
- Published
Prediction-based estimation for diffusion models with high-frequency data
Jorgensen, E. S. & Sørensen, Michael, 2021, In: Japanese Journal of Statistics and Data Science. 4, 1, p. 483-511Research output: Contribution to journal › Journal article › Research › peer-review
- 2019
- Published
Estimating functions for jump–diffusions
Jakobsen, N. M. & Sørensen, Michael, 2019, In: Stochastic Processes and Their Applications. 129, p. 3282–3318Research output: Contribution to journal › Journal article › Research › peer-review
- 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 › Research › peer-review
- 2018
- Published
A review of asymptotic theory of estimating functions
Jacod, J. & Sørensen, Michael, 2018, In: Statistical Inference for Stochastic Processes. 21, 2, p. 415-434Research output: Contribution to journal › Journal article › Research › peer-review
- 2017
- 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. 2085-2100Research output: Contribution to journal › Journal article › Research › peer-review
- 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 › Research › peer-review
- 2016
- 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. 343–369Research output: Contribution to journal › Journal article › Research › peer-review
- 2014
- Published
A transformation approach to modeling multi-modal diffusions
Forman, Julie Lyng & Sørensen, Michael, 2014, In: Journal of Statistical Planning and Inference. 146, p. 56-69Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Editorial to: Six papers on Dynamic Statistical Models: Special issue of Scandinavian Journal of Statistics, 41(1), 22, 2014
Ditlevsen, Susanne (ed.), Scheike, Thomas (ed.) & Sørensen, Michael (ed.), 2014, In: Scandinavian Journal of Statistics. 41, 1Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Simple simulation of diffusion bridges with application to likelihood inference for diffusions
Bladt, M. & Sørensen, Michael, 2014, In: Bernoulli. 20, 2, p. 645-675Research output: Contribution to journal › Journal article › Research › peer-review
- 2013
- Published
Statistical inference for discrete-time samples from affine stochastic delay differential equations
Küchler, U. & Sørensen, Michael, 2013, In: Bernoulli. 19, 2, p. 409 - 425Research output: Contribution to journal › Journal article › Research › peer-review
- 2011
- Published
Prediction-based estimating functions: Review and new developments
Sørensen, Michael, 2011, In: Brazilian Journal of Probability and Statistics. 25, 3, p. 362-391Research output: Contribution to journal › Journal article › Research › peer-review
- 2010
- Published
A simple estimator for discrete-time samples from affine stochastic delay differential equations
Sørensen, Michael, 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.Research output: Contribution to journal › Journal article › Research › peer-review
- 2009
- Published
Efficient estimation of transition rates between credit ratings from observations at discrete time points
Sørensen, Michael & Bladt, M., 2009, In: Quantitative Finance. 9, p. 147 - 160 14 p.Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Estimation for stochastic differential equations with a small diffusion coefficient
Sørensen, Michael & Gloter, A., 2009, In: Stochastic Processes and Their Applications. 119, p. 679 - 699 21 p.Research output: Contribution to journal › Journal article › Research › peer-review
- 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
- 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
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
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
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
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
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
- 2001
- 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
- Published
Aeolian Mass Transport near the Saltation Threshold
Rasmussen, K. R. & Sørensen, Michael, 1999, In: Earth Surface Processes and Landforms. 24, 5, p. 413-422Research output: Contribution to journal › Journal article › Research › peer-review
- Published
Estimating equations based on eigenfunctions for a discretely observed diffusion process
Kessler, M. & Sørensen, Michael, 1999, In: Bernoulli. 5, 2, p. 299-314Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
Stock returns and hyperbolic distributions
Küchler, U., Neumann, K., Sørensen, Michael & Streller, A., 1999, In: Mathematical and Computer Modelling. 29, 10-12, p. 1-15Research output: Contribution to journal › Journal article › Research › peer-review
- 1998
On Exponential Families of Markov Processes
Küchler, U. & Sørensen, Michael, 1998, In: Journal of Statistical Planning and Inference. 66, 1, p. 3-19Research output: Contribution to journal › Journal article › Research › peer-review
- Published
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
- Published
Some stationary processes in discretely and continuous time
Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1998, In: Advances in Applied Probability. 30, p. 989-1007Research output: Contribution to journal › Journal article › Research › peer-review
- 1997
A hyperbolic diffusion model for stock prices
Sørensen, Michael & Bibby, B. M., 1997, In: Finance and Stochastics. 1, p. 25-41Research output: Contribution to journal › Journal article › Research › peer-review
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
- 1996
A semimartingale approach to some problems in risk theory
Sørensen, Michael, 1996, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 26, p. 15-23Research output: Contribution to journal › Journal article › Research › peer-review
Curved exponential families of stochastic processes and their envelope families
Küchler, U. & Sørensen, Michael, 1996, In: Annals of the Institute of Statistical Mathematics. 48, 1, p. 61-74Research output: Contribution to journal › Journal article › Research › peer-review
On Effects of Discretization on Estimators of Drift Parameters for Diffusion Processes
KLOEDEN, P. E., PLATEN, E., SCHURZ, H. & Sørensen, Michael, 1996, In: Journal of Applied Probability. 33, 4, p. 1061-1076Research output: Contribution to journal › Journal article › Research › peer-review
On estimation for discretely observed diffusions: A review
Sørensen, Michael & Bibby, B. M., 1996, In: Theory of Stochastic Processes. 2, p. 49-56Research output: Contribution to journal › Journal article › Research › peer-review
On the effect of mid-air collisions on aeolian saltation
Sørensen, Michael & McEwan, I., 1996, In: Sedimentology. 43, 1½, p. 66-76Research output: Contribution to journal › Journal article › Research › peer-review
- 1995
Martingale estimating functions for discretely observed diffusion processes
Sørensen, Michael & Bibby, B. M., 1995, In: Bernoulli. 1, p. 17-39Research output: Contribution to journal › Journal article › Research › peer-review
- 1994
A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes
Barndorff-Nielsen, O. & Sørensen, Michael, 1994, In: International Statistical Review. 62, 1, p. 133-165Research output: Contribution to journal › Journal article › Research › peer-review
Exponential Families of Stochastic Processes with Time-Continuous Likelihood Functions
Küchler, U. & Sørensen, Michael, 1994, In: Scandinavian Journal of Statistics. 21, 4, p. 421-431Research output: Contribution to journal › Journal article › Research › peer-review
Exponential families of stochastic processes and Lévy processes
Küchler, U. & Sørensen, Michael, 1994, In: Journal of Statistical Planning and Inference. 39, 2, p. 211-237Research output: Contribution to journal › Journal article › Research › peer-review
Statistical Analysis of a Spatial Birth-and-Death Process Model with a View to Modelling Linear Dune Fields
Møller, J. .. & Sørensen, Michael, 1994, In: Scandinavian Journal of Statistics. 21, 1, p. 1-19Research output: Contribution to journal › Journal article › Research › peer-review
- 1993
A statistical model for the streamwise component of a turbulent velocity field
Sørensen, Michael, Barndorff-Nielsen, O. E. & Jensen, J. L., 1993, In: Annales Geophysicae. 11, p. 99-103Research 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
- 1991
A review of recent progress in our understanding of aeolian sediment transport
Sørensen, Michael, Anderson, R. S. & Willetts, B. B., 1991, In: Acta Mechanica. Suppl. 1 , p. 1-19Research output: Contribution to journal › Journal article › Research › peer-review
An analytic model of wind-blown sand transport
Sørensen, Michael, 1991, In: Acta Mechanica. Suppl. 1, p. 67-81Research output: Contribution to journal › Journal article › Research › peer-review
Information quantities in non-classical settings
Barndorff-Nielsen, O. & Sørensen, Michael, 1991, In: Computational Statistics & Data Analysis. 12, 2, p. 143-158Research output: Contribution to journal › Journal article › Research › peer-review
On the temporal-spatial variation of sediment size distributions
Sørensen, Michael & Barndorff-Nielsen, O. E., 1991, In: Acta Mechanica. Suppl. 2, p. 23-35Research output: Contribution to journal › Journal article › Research › peer-review
- 1990
On quasi likelihood for semimartingales
Sørensen, Michael, 1990, In: Stochastic Processes and Their Applications. 35, 2, p. 331-346Research output: Contribution to journal › Journal article › Research › peer-review
Parametric Modelling of Turbulence
Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1990, In: PHILOSOPHICAL TRANSACTIONS OF THE ROYAL SOCIETY OF LONDON SERIES A-MATHEMATICAL AND PHYSICAL SCIENCES. 332, 1627, p. 439-455Research output: Contribution to journal › Journal article › Research › peer-review
- 1989
Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach
Küchler, U. & Sørensen, Michael, 1989, In: International Statistical Review. 57, 2, p. 123-144Research output: Contribution to journal › Journal article › Research › peer-review
Wind shear and hyperbolic distributions
Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1989, In: Boundary-Layer Meteorology. 49, 4, p. 417-431Research output: Contribution to journal › Journal article › Research › peer-review
- 1988
On the Incubation Time Distribution and the Danish AIDS Data
Boldsen, J. L., Jensen, J. L., Søgaard, J. & Sørensen, Michael, 1988, In: Journal of the Royal Statistical Society - Series A. 151, 1, p. 42-43Research output: Contribution to journal › Journal article › Research › peer-review
- 1986
Classes of diffusion-type processes with a sufficient reduction
Sørensen, Michael, 1986, In: Statistics. 17, p. 585-596Research output: Contribution to journal › Journal article › Research › peer-review
Estimation of some aeolian saltation transport parameters: a re-analysis of Williams' data
Jensen, J. L. & Sørensen, Michael, 1986, In: Sedimentology. 33, 4, p. 547-558Research 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
- 1985
The usefulness of tests for multivariate normality in physical anthropology
Sørensen, Michael & Boldsen, J., 1985, In: Ossa : international journal of skeletal research. 9-11, p. 13-28Research output: Contribution to journal › Journal article › Research › peer-review
- 1983
On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes
Sørensen, Michael, 1983, In: International Statistical Review. 51, 1, p. 93-110Research output: Contribution to journal › Journal article › Research › peer-review
- 1982
Normal variance-mean mixtures and z-distributions
Barndorff-Nielsen, O., Kent, J. & Sørensen, Michael, 1982, In: International Statistical Review. 50, 2, p. 145-159Research 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
Research output: Contribution to journal › Journal article › Research › peer-review
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141
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A Generative Angular Model of Protein Structure Evolution
Research output: Contribution to journal › Journal article › Research › peer-review
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A review of asymptotic theory of estimating functions
Research output: Contribution to journal › Journal article › Research › peer-review
Published