Michael Sørensen

Michael Sørensen

Head of Department, Professor

Current research

Statistical methods for stochastic processes. Discrete time sampling of continuous time processes such as models given by stochastic differential equations and jump processes. Directional processes. Diffusion bridges. Estimating functions and simulation-based inference. Stochastic models and inference problems in the physics of wind blown sand, biology and finance.

Primary fields of research

Theoretical statistics and applied probility.

 

Selected publications

  1. 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 journalJournal articleResearchpeer-review

  2. 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 journalJournal articleResearchpeer-review

  3. 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 journalJournal articleResearchpeer-review

  4. 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 journalJournal articleResearchpeer-review

  5. 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 journalJournal articleResearchpeer-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 journalJournal articleResearchpeer-review

  7. 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 proceedingBook chapterResearchpeer-review

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