Michael Sørensen

Research output

Research output per year 1982 1989 1991 1994 1996 1997 1999 2004 2005 2019

• 66 Journal article
• 19 Book chapter
• 2 Anthology
• 2 Book
• 4 More
  • 2 Encyclopedia chapter
  • 1 Preface/postscript
  • 1 Working paper

Research output per year

Research output per year

Search results

• 2019

  Langevin diffusions on the torus: estimation and applications

  García-Portugués, E., Sørensen, M., Mardia, K. V. & Hamelryck, T., 15 Jan 2019, In: Statistics and Computing. 29, 1, p. 1-22 22 p.

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

  • Transition Density 100%
  • Likelihood 92%
  • Torus 85%
  • Stationary Distribution 54%
  • Angle 44%
  1 Citation (Scopus)
• 2018

  A review of asymptotic theory of estimating functions

  Jacod, J. & Sørensen, M., 1 Jul 2018, In: Statistical Inference for Stochastic Processes. 21, 2, p. 415-434

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

  • Estimating Function 100%
  • Asymptotic Theory 85%
  • Review 58%
  • Consistent Estimator 45%
  • Process Model 45%
  7 Citations (Scopus)

  49 Downloads (Pure)
• 2017

  A Generative Angular Model of Protein Structure Evolution

  Golden, M., Garcia-Portugues, E., Sørensen, M., Mardia, K. V., Hamelryck, T. & Hein, J., 1 Aug 2017, In: Molecular Biology and Evolution. 34, 8, p. 2085-2100

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

  • protein structure 100%
  • protein 69%
  • amino acid 59%
  • Amino Acid Sequence 44%
  • amino acid sequences 39%
  8 Citations (Scopus)

  69 Downloads (Pure)

• Efficient estimation for diffusions sampled at high frequency over a fixed time interval

  Jakobsen, N. M. & Sørensen, M., Aug 2017, In: Bernoulli. 23, 3, p. 1874-1910 37 p.

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

  • Efficient Estimation 100%
  • Estimating Function 68%
  • Diffusion Process 53%
  • Estimator 50%
  • Interval 48%
  4 Citations (Scopus)

  109 Downloads (Pure)

• Likelihood Ratio Tests in Curved Exponential Families with Nuisance Parameters Present Only Under the Alternative [introduction}

  Jakobsen, N. M. & Sørensen, M., 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
• 2016

  Ole E. Barndorff-Nielsen’s scientific achievements

  Vedel Jensen, E. B., Podolskij, M., Sørensen, M. & 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 International Publishing, p. xi-xvi

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

• Simulation of multivariate diffusion bridges

  Bladt, M., Finch, S. T. J. & Sørensen, M., 1 Mar 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

  • Simulation 100%
  • Diffusion Model 30%
  • Coupling Method 28%
  • Bayesian Inference 27%
  • Likelihood Inference 26%
  15 Citations (Scopus)

  44 Downloads (Pure)
• 2015

  On the Size Distribution of Sand

  Sørensen, M., 1 Jan 2015, 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 Science+Business Media, p. 1-13

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

  • sand 100%
  • travel time 40%
  • distribution 29%
  • skewness 23%
  • grain size 16%
  1 Citation (Scopus)
• 2014

  A transformation approach to modeling multi-modal diffusions

  Forman, J. L. & Sørensen, M., Mar 2014, In: Journal of Statistical Planning and Inference. 146, p. 56-69

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

  • Modeling 100%
  • Diffusion Model 72%
  • Protein 64%
  • Diffusion Coefficient 60%
  • Protein Folding 44%
  9 Citations (Scopus)

• Editorial to: Six papers on Dynamic Statistical Models: Special issue of Scandinavian Journal of Statistics, 41(1), 22, 2014

  Ditlevsen, S. (ed.), Scheike, T. (ed.) & Sørensen, M. (ed.), 2014, In: Scandinavian Journal of Statistics. 41, 1

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

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

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

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

  • Likelihood Inference 100%
  • Simulation 51%
  • Simulation Methods 31%
  • Diffusion Process 25%
  • Statistical Inference 17%
  18 Citations (Scopus)
• 2013

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

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

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

  4 Citations (Scopus)
• 2012

  Estimating functions for diffusion-type processes

  Sørensen, M., 1 Jan 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

  • Estimating Function 100%
  • Statistical Model 79%
  • Stochastic Differential Equations 71%
  • Discrete Time Observations 61%
  • Parametric Inference 59%
  25 Citations (Scopus)

• Statistical Methods for Stochastic Differential Equations

  Sørensen, M. (ed.), Kessler, M. (ed.) & Lindner, A. (ed.), 1 Jan 2012, CRC Press. 507 p. (Monographs on Statistics and Applied Probability, Vol. 124).

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

  • Statistical method 100%
  • Stochastic Differential Equations 90%
  • Jump 42%
  • Asynchronous Systems 39%
  • High-frequency Data 37%
  23 Citations (Scopus)
• 2011

  Prediction-based estimating functions: Review and new developments

  Sørensen, M., Nov 2011, In: Brazilian Journal of Probability and Statistics. 25, 3, p. 362-391

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

  7 Citations (Scopus)
• 2010

   A simple estimator for discrete-time samples from affine stochastic delay differential equations

  Sørensen, M., 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

  • Stochastic Delay Differential Equations 100%
  • Discrete-time 58%
  • Discrete Time Observations 54%
  • Estimator 43%
  • Likelihood Function 36%
  6 Citations (Scopus)

• Estimating functions for discretely sampled diffusion-type models

  Sørensen, M., Jacobsen, M. & 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

  • Estimating Function 100%
  • Stochastic Volatility Model 35%
  • Estimator 32%
  • Model 26%
  • Efficient Estimator 16%
  32 Citations (Scopus)

•  Maximum likelihood estimation for integrated diffusion processes

  Sørensen, M. & 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
• 2009

   Efficient estimation of transition rates between credit ratings from observations at discrete time points

  Sørensen, M. & Bladt, M., 2009, In: Quantitative Finance. 9, p. 147 - 160 14 p.

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

  23 Citations (Scopus)

•  Estimation for stochastic differential equations with a small diffusion coefficient

  Sørensen, M. & 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

  28 Citations (Scopus)

• Parametric inference for discretely sampled stochastic differential equations

  Sørensen, M., 2009, Handbook of Financial Time Series. Andersen, T. G., Davis, R. A., Kreiss, J-P. & Mikosch, T. (eds.). Heidelberg: Springer, p. 531 - 553 23 p.

  Research output: Chapter in Book/Report/Conference proceeding › Book chapter › Research
• 2008

  The Pearson diffusions: A class of statistically tractablediffusion processes

  Forman, J. L. & Sørensen, M., 2008, In: Scandinavian Journal of Statistics. 35, p. 438 - 465

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

  84 Citations (Scopus)

• The vertical variation of particle speed and flux density inaeolian saltation: measurement and modeling

  Sørensen, M. & Rasmussen, K. R., 2008, In: Journal of Geophysical Research - Oceans. 113

  Research output: Contribution to journal › Journal article › Research › peer-review
• 2007

  Diffusion models for exchange rates in a target zone

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

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

  45 Citations (Scopus)
• 2006

  On the Size Distribution of Sand

  Sørensen, M., 2006, Department of Applied Mathematics and Statistics / University of Copenhagen, p. 1-11.

  Research output: Working paper › Research
• 2005

  Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics

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

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

• Contribution to the discussion of a paper by Kou, Xie and Liu

  Jacobsen, M. & Sørensen, M., 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

• Contribution to the discussion of the paper "Local model uncertainty and incompletedata bias" by John Copas and Shinto Educhi

  Sørensen, M., 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

• Diffusion-type models with given marginal distribution and autocorrelation function

  Bibby, B. M., Skovgaard, I. M. & Sørensen, M., 2005, In: Bernoulli. 11, 2, p. 191-220 10 p.

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

  86 Citations (Scopus)

• Dynamics of Particles in Aeolian Saltation

  Rasmussen, K. R. & Sørensen, M., 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

  18 Citations (Scopus)

• On Time-Reversibility and Estimating Functions for Markov Processes

  Kessler, M. & Sørensen, M., 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. 95-107

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

  2 Citations (Scopus)

• Statistical inference for discretely observed Markov jump processes

  Bladt, M. & Sørensen, M., 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

  71 Citations (Scopus)
• 2004

  Diffusion Processes

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

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

• Estimation for Discretely observed Diffusions using Transform Functions

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

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

  13 Citations (Scopus)

• Inference for Observations of Integrated Diffusion Processes

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

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

  40 Citations (Scopus)

• Martingale estimating functions for discretely observed stochastic differential equation models

  Sørensen, M., 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

• On the rate of aeolian sand transport

  Sørensen, M., 2004, In: Geomorphology. 59, 1, p. 53-62

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

  90 Citations (Scopus)

• Ornstein-Uhlenbeck Process

  Sørensen, M., 2004, Encyclopedia of actuarial science. Vol 3 (O-Z) ed. Wiley, p. 1229-1230

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

• Probabilistic modeling of bed-load composition

  McEwan, I., Sørensen, M., 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

  31 Citations (Scopus)
• 2003

  En Introduktion til Sandsynlighedsregning.

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

  Research output: Book/Report › Book › Education

• Hyperbolic Processes in Finance

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

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

• Small-diffusion asymptotics for discretely sampled stochastic differential equations

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

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

  34 Citations (Scopus)
• 2002

  Empirical Process Techniques for Dependent Data

  Dehling, H. G. (ed.), Mikosch, T. V. (ed.) & Sørensen, M. (ed.), 2002, Boston: Birkhäuser Verlag. 545 p.

  Research output: Book/Report › Anthology › Research › peer-review
• 2001

  On the rate of aeolian sand transport

  Sørensen, M., 2001, Actes du 2eme Atelier International. Formation et Migration des Dunes. Moctar, A. O. E. (ed.). <Forlag uden navn>, p. 56-60

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

• Simplified estimating functions for diffusion models with a high-dimensional parameter

  Bibby, B. M. & Sørensen, M., 2001, In: Scandinavian Journal of Statistics. 28, 1, p. 99-112 14 p.

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

  16 Citations (Scopus)
• 2000

  Prediction-based estimating functions

  Sørensen, M., 2000, In: Econometrics Journal. 3, p. 123-147

  Research output: Contribution to journal › Journal article › Research › peer-review
• 1999

  Aeolian Mass Transport near the Saltation Threshold

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

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

  49 Citations (Scopus)

• A note on limit theorems for multivariate martingales

  Küchler, U. & Sørensen, M., 1999, In: Bernoulli. 5, 3, p. 483-493 11 p.

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

  12 Citations (Scopus)

• Estimating equations based on eigenfunctions for a discretely observed diffusion process

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

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

  98 Citations (Scopus)

• On asymptotics of estimating functions

  Sørensen, M., 1999, In: Brazilian Journal of Probability and Statistics. 13, p. 111-136

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