Michael Sørensen

Michael Sørensen

Professor

ORCID: 0000-0001-7233-5377

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  1. Published

     Maximum likelihood estimation for integrated diffusion processes

    Sørensen, Michael & Baltazar-Larios, F., 2010, Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen. Chiarella, C. & Novikov, A. (eds.). Springer Science+Business Media, p. 407-423

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

  2. 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

  3. 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

  4. 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

  5. Wind shear and hyperbolic distributions

    Barndorff-Nielsen, O., Jensen, J. L. & Sørensen, Michael, 1989, In: Boundary-Layer Meteorology. 49, 4, p. 417-431

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

  6. Published

    Toroidal Diffusions and Protein Structure Evolution

    Garcia Portugues, E., Golden, M., Sørensen, Michael, Mardia, K. V., Hamelryck, Thomas Wim & Hein, J., 2018, Applied Directional Statistics: Modern Methods and Case Studies. Ley, C. & Verdebout, H. (eds.). CRC Press, 34 p.

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

  7. 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. 113

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

  8. 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. 13-28

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

  9. The natural exponential family generated by a semimartingale

    Sørensen, Michael, 1996, Proceedings of the Fourth Russian-Finnish Symposium on Probability Theory and Mathematical Statistics. Shiryaev, A. N. (ed.). Moscow: TVP Science Publishers, p. 177-186

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

  10. The fascination of sand

    Sørensen, Michael, Barndorff-Nielsen, O. E., Blæsild, P. & Jensen, J. L., 1985, A Celebration of Statistics. New York: Springer, p. 57-87

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

  11. Published

    The Pearson diffusions: A class of statistically tractablediffusion processes

    Forman, Julie Lyng & Sørensen, Michael, 2008, In: Scandinavian Journal of Statistics. 35, p. 438 - 465

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

  12. Published

    Stock returns and hyperbolic distributions

    Küchler, U., Neumann, K., Sørensen, Michael & Streller, A., 1999, In: Mathematical and Computer Modelling. 29, 10-12, p. 1-15

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

  13. Stochastic Models of Sand Transport by Wind and Two Related Estimation Problems

    Sørensen, Michael, 1993, In: International Statistical Review. 61, 2, p. 245-255

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

  14. 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. 395-410

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

  15. Published

    Statistical inference for discrete-time samples from affine stochastic delay differential equations

    Küchler, U. & Sørensen, Michael, 2013, In: Bernoulli. 19, 2, p. 409 - 425

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

  16. Published

    Statistical Methods for Stochastic Differential Equations

    Sørensen, Michael (ed.), Kessler, M. (ed.) & Lindner, A. (ed.), 2012, CRC Press. 507 p. (Monographs on Statistics and Applied Probability, Vol. 124).

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

  17. 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. 1-19

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

  18. 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. 989-1007

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

  19. 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. 469-479

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

  20. Published

    Small-diffusion asymptotics for discretely sampled stochastic differential equations

    Sørensen, Michael & Uchida, M., 2003, In: Bernoulli. 9 (6), p. 1051 - 1069

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

  21. 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. 343–369

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

  22. Published

    Simulation of diffusion bridges and estimation for stochastic differential equatio

    Sørensen, Michael, 2021, Statistics of Stochastic Differential Equations on Manifolds and Stratified Spaces (hybrid meeting). Mathematisches Forschungsinstitut Oberwolfach, p. 8-9 (Oberwolfach Reports; No. 48, Vol. 2021).

    Research output: Chapter in Book/Report/Conference proceeding › Article in proceedings › Research

  23. 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

  24. Published

    Simple simulation of diffusion bridges with application to likelihood inference for diffusions

    Bladt, M. & Sørensen, Michael, 2014, In: Bernoulli. 20, 2, p. 645-675

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

  25. 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. 129-139

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

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