Michael Sørensen

Michael Sørensen

Professor

ORCID: 0000-0001-7233-5377

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  1. 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 › Research › peer-review

  2. 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. 133-165

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

  3. A hyperbolic diffusion model for stock prices

    Sørensen, Michael & Bibby, B. M., 1997, In: Finance and Stochastics. 1, p. 25-41

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

  4. 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

  5. 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. 229-234

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

  7. 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. 1-19

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

  8. A semimartingale approach to some problems in risk theory

    Sørensen, Michael, 1996, In: ASTIN Bulletin - Actuarial Studies in non Life Insurance. 26, p. 15-23

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

  9. 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. 99-103

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

  10. Published

    A transformation approach to modeling multi-modal diffusions

    Forman, Julie Lyng & Sørensen, Michael, 2014, In: Journal of Statistical Planning and Inference. 146, p. 56-69

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

  11. Published

    Aeolian Mass Transport near the Saltation Threshold

    Rasmussen, K. R. & Sørensen, Michael, 1999, In: Earth Surface Processes and Landforms. 24, 5, p. 413-422

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

  12. An analytic model of wind-blown sand transport

    Sørensen, Michael, 1991, In: Acta Mechanica. Suppl. 1, p. 67-81

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

  13. Classes of diffusion-type processes with a sufficient reduction

    Sørensen, Michael, 1986, In: Statistics. 17, p. 585-596

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

  14. Published

    Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics

    Sørensen, Michael, 2005, In: Statistical Science. 20, p. 344-346

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

  15. 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. 502-503

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

  16. 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. 500-501

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

  17. 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. 61-74

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

  18. Published

    Diffusion Processes

    Sørensen, Michael, 2004, Encyclopedia of Actuarial Science. Wiley, Vol. 1. p. 523-527

    Research output: Chapter in Book/Report/Conference proceeding › Encyclopedia chapter › Research

  19. Published

    Diffusion models for exchange rates in a target zone

    Sørensen, Michael & Larsen, K. S., 2007, In: Mathematical Finance. 17, p. 285 - 306

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

  20. 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

  21. 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. 967-972

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

  22. 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, 1

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

  23. 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

  24. 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

  25. Published

    En Introduktion til Sandsynlighedsregning.

    Sørensen, Michael, 2003, 4. ed. Københavns Universitet: Universitetsbogladen. 287 p.

    Research output: Book/Report › Book › Education

  26. Published

    Estimating equations based on eigenfunctions for a discretely observed diffusion process

    Kessler, M. & Sørensen, Michael, 1999, In: Bernoulli. 5, 2, p. 299-314

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

  27. 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

  28. Published

    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. 305-325

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

  29. Published

    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 - 268

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

  30. 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 › Research › peer-review

  31. Published

    Estimation for Discretely observed Diffusions using Transform Functions

    Kelly, L., Platen, E. & Sørensen, Michael, 2004, In: Journal of Applied Probability. 41A, p. 99-118

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

  32. Estimation of some aeolian saltation transport parameters: a re-analysis of Williams' data

    Jensen, J. L. & Sørensen, Michael, 1986, In: Sedimentology. 33, 4, p. 547-558

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

  33. Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach

    Küchler, U. & Sørensen, Michael, 1989, In: International Statistical Review. 57, 2, p. 123-144

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

  34. Published

    Exponential Families of Stochastic Processes

    Sørensen, Michael & Küchler, U., 1997, New York: Springer. 322 p.

    Research output: Book/Report › Book › Research › peer-review

  35. Exponential Families of Stochastic Processes with Time-Continuous Likelihood Functions

    Küchler, U. & Sørensen, Michael, 1994, In: Scandinavian Journal of Statistics. 21, 4, p. 421-431

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

  36. Exponential families of stochastic processes and Lévy processes

    Küchler, U. & Sørensen, Michael, 1994, In: Journal of Statistical Planning and Inference. 39, 2, p. 211-237

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

  37. Published

    Hyperbolic Processes in Finance

    Bibby, B. M. & Sørensen, Michael, 2003, Handbook of Heavy Tailed Distributions in Finance. Elsevier, p. 211-248

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

  38. Published

    Inference for Observations of Integrated Diffusion Processes

    Ditlevsen, Susanne & Sørensen, Michael, 2004, In: Scandinavian Journal of Statistics. Vol. 31, p. 417-429

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

  39. Information quantities in non-classical settings

    Barndorff-Nielsen, O. & Sørensen, Michael, 1991, In: Computational Statistics & Data Analysis. 12, 2, p. 143-158

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

  40. 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

  41. Published

    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. 301-307

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

  42. 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. 67-105

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

  43. Martingale estimating functions for discretely observed diffusion processes

    Sørensen, Michael & Bibby, B. M., 1995, In: Bernoulli. 1, p. 17-39

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

  44. 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. 213-236

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

  45. Methodology of sieving small samples and calibration of sieve sets

    Sørensen, Michael, Dalsgaard, K. & Jensen, J. L., 1991, Principles, Methods, and Application of Particle Size Analysis. Syvitsky, J. P. M. (ed.). Cambridge: Cambridge University Press, p. 64-75

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

  46. Normal variance-mean mixtures and z-distributions

    Barndorff-Nielsen, O., Kent, J. & Sørensen, Michael, 1982, In: International Statistical Review. 50, 2, p. 145-159

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

  47. Published

    Obituary: Ole Barndorff-Nielsen 1935-2022

    Labouriau, R., Sørensen, Michael & Thorbjørnsen, S., 2022, In: IMS Bulletin. 71, 7, p. 67 3 p.

    Research output: Contribution to journal › Journal article › Communication

  48. Published

    Ole E. Barndorff-Nielsen’s scientific achievements

    Vedel Jensen, E. B., Podolskij, M., Sørensen, Michael & Thorbjørnsen, S., 2016, The Fascination of Probability, Statistics and their Applications: In Honour of Ole E. Barndorff-Nielsen. Podolskij, M., Stelzer, R., Thorbjørnsen, S. & Veraart, A. E. D. (eds.). Springer, p. xi-xvi

    Research output: Chapter in Book/Report/Conference proceeding › Preface/postscript › Research

  49. Published

    Ole Eiler Barndorff-Nielsen, 1935-2022

    Lauritzen, Steffen & Sørensen, Michael, Oct 2022, In: Journal of the Royal Statistical Society. Series A: Statistics in Society. 185, 4, p. 2289-2291

    Research output: Contribution to journal › Journal article › Communication

  50. 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. 1061-1076

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

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