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Sorensen, Michael

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Author ID: sorensen.michael Recent zbMATH articles by "Sorensen, Michael"
Published as: Sorensen, M.; Sorensen, Michael; Sørensen, M.; Sørensen, Michael
Homepage: http://www.math.ku.dk/~michael/
External Links: MGP
Documents Indexed: 59 Publications since 1982, including 3 Books

Publications by Year

Citations contained in zbMATH

53 Publications have been cited 847 times in 603 Documents Cited by Year
Martingale estimation functions for discretely observed diffusion processes. Zbl 0830.62075
Bibby, Bo Martin; Sørensen, Michael
105
1995
Normal variance-mean mixtures and z distributions. Zbl 0497.62019
Barndorff-Nielsen, O.; Kent, J.; Sorensen, M.
89
1982
Exponential families of stochastic processes. Zbl 0882.60012
Küchler, Uwe; Sørensen, Michael
60
1997
Estimating equations based on eigenfunctions for a discretely observed diffusion process. Zbl 0980.62074
Kessler, Mathieu; Sørensen, Michael
56
1999
The Pearson diffusions: a class of statistically tractable diffusion processes. Zbl 1198.62078
Forman, Julie Lyng; Sørensen, Michael
53
2008
Diffusion-type models with given marginal distribution and autocorrelation function. Zbl 1066.60071
Bibby, Bo Martin; Skovgaard, Ib Michael; Sørensen, Michael
40
2005
Some stationary processes in discrete and continuous time. Zbl 0930.60026
Barndorff-Nielsen, O. E.; Jensen, J. L.; Sørensen, M.
39
1998
Statistical inference for discretely observed Markov jump processes. Zbl 1069.62061
Bladt, Mogens; Sørensen, Michael
31
2005
A hyperbolic diffusion model for stock prices. Zbl 0883.90010
Bibby, Bo Martin; Sørensen, Michael
27
1997
Prediction-based estimating functions. Zbl 0998.62071
Sørensen, Michael
26
2000
Inference for observations on integrated diffusion processes. Zbl 1062.62157
Ditlevsen, Susanne; Sørensen, Michael
23
2004
Small-diffusion asymptotics for discretely sampled stochastic differential equations. Zbl 1043.60050
Sørensen, Michael; Uchida, Masayuki
20
2003
A review of some aspects of asymptotic likelihood theory for stochastic processes. Zbl 0828.62078
Barndorff-Nielsen, O. E.; Sørensen, M.
18
1994
Estimation for stochastic differential equations with a small diffusion coefficient. Zbl 1157.62055
Gloter, Arnaud; Sørensen, Michael
16
2009
Empirical process techniques for dependent data. Zbl 1005.00016
Dehling, Herold (ed.); Mikosch, Thomas (ed.); Sørensen, Michael (ed.)
15
2002
On sequential maximum likelihood estimation for exponential families of stochastic processes. Zbl 0604.62074
Sørensen, Michael
14
1986
Estimating functions for discretely observed diffusions: A review. Zbl 0906.62079
Sørensen, Michael
13
1997
Exponential families of stochastic processes: A unifying semimartingale approach. Zbl 0721.60055
Küchler, Uwe; Sørensen, Michael
13
1989
Estimating functions for diffusion-type processes. Zbl 1375.60124
Sørensen, Michael
12
2012
On effects of discretization on estimators of drift parameters for diffusion processes. Zbl 0873.65134
Kloeden, P. E.; Platen, E.; Schurz, H.; Sørensen, M.
12
1996
Simplified estimating functions for diffusion models with a high-dimensional parameter. Zbl 0973.60071
Bibby, Bo Martin; Sørensen, Michael
11
2001
On asymptotics of estimating functions. Zbl 0982.62020
Sørensen, Michael
11
1999
A note on limit theorems for multivariate martingales. Zbl 0943.60016
Küchler, Uwe; Sørensen, Michael
11
1999
Likelihood methods for diffusions with jumps. Zbl 0733.62087
Sørensen, Michael
11
1991
On maximum likelihood estimation in randomly stopped diffusion-type processes. Zbl 0509.62075
Sorensen, Michael
11
1983
Simple simulation of diffusion bridges with application to likelihood inference for diffusions. Zbl 1398.60086
Bladt, Mogens; Sørensen, Michael
10
2014
Stock returns and hyperbolic distributions. Zbl 0999.62085
Küchler, U.; Neumann, K.; Sørensen, M.; Streller, A.
8
1999
On estimation for discretely observed diffusion: a review. Zbl 0893.62082
Bibly, Bo Martin; Sørensen, Michael
7
1996
Simulation of multivariate diffusion bridges. Zbl 1414.62085
Bladt, Mogens; Finch, Samuel; Sørensen, Michael
6
2016
A transformation approach to modelling multi-modal diffusions. Zbl 1279.62169
Forman, Julie Lyng; Sørensen, Michael
6
2014
Estimation for discretely observed diffusions using transform functions. Zbl 1049.62092
Kelly, Leah; Platen, Eckhard; Sørensen, Michael
6
2004
On quasi likelihood for semimartingales. Zbl 0714.62075
Sørensen, Michael
6
1990
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
5
2018
Maximum likelihood estimation for integrated diffusion processes. Zbl 05901450
Baltazar-Larios, Fernando; Sørensen, Michael
5
2010
On exponential families of Markov processes. Zbl 0907.62101
Küchler, Uwe; Sørensen, Michael
5
1998
Statistical methods for stochastic differential equations. Selected papers based on the presentations at the 7th séminaire Européen de statistiques on “Statistics for stochastic differential equations models”, La Manga del Mar Menor, Cartagena, Spain, May 7–12, 2007. Zbl 1246.60005
Kessler, Mathieu (ed.); Lindner, Alexander (ed.); Sørensen, Michael (ed.)
4
2012
Prediction-based estimating functions: review and new developments. Zbl 1230.62111
Sørensen, Michael
4
2011
A simple estimator for discrete-time samples from affine stochastic delay differential equations. Zbl 1209.62198
Küchler, Uwe; Sørensen, Michael
4
2010
Statistical analysis of a spatial birth-and-death process model with a view to modelling linear dune fields. Zbl 0790.62090
Møller, Jesper; Sørensen, Michael
4
1994
A note on the existence of a consistent maximum likelihood estimator for diffusions with jumps. Zbl 0685.62062
Sørensen, Michael
4
1989
Parametric inference for discretely sampled stochastic differential equations. Zbl 1180.62118
Sørensen, Michael
3
2009
Curved exponential families of stochastic processes and their envelope families. Zbl 0857.62010
Küchler, Uwe; Sørensen, Michael
3
1996
Exponential families of stochastic processes and Lévy processes. Zbl 0854.60076
Küchler, Uwe; Sørensen, Michael
3
1994
Information quantities in non-classical settings. Zbl 0870.62005
Barndorff-Nielsen, O. E.; Sørensen, M.
3
1991
The fascination of sand. Zbl 0589.62100
Barndorff-Nielsen, Ole E.; Blæsild, Preben; Jensen, Jens Ledet; Sørensen, Michael
3
1985
Efficient estimation for diffusions sampled at high frequency over a fixed time interval. Zbl 1392.62250
Jakobsen, Nina Munkholt; Sørensen, Michael
2
2017
Exponential families of stochastic processes with time-continuous likelihood functions. Zbl 0814.62049
Küchler, Uwe; Sørensen, Michael
2
1994
Some asymptotic properties of quasi likelihood estimators for semimartingales. Zbl 0725.62074
Sørensen, Michael
2
1989
Estimating functions for jump – diffusions. Zbl 07107503
Jakobsen, Nina Munkholt; Sørensen, Michael
1
2019
Statistical inference for discrete-time samples from affine stochastic delay differential equations. Zbl 06168758
Küchler, Uwe; Sørensen, Michael
1
2013
On time-reversibility and estimating functions for Markov processes. Zbl 1062.62158
Kessler, Mathieu; Sørensen, Michael
1
2005
On comparison of stopping times in sequential procedures for exponential families of stochastic processes. Zbl 0913.60036
Sørensen, Michael
1
1998
The natural exponential family generated by a semimartingale. Zbl 0888.60039
Sørensen, M.
1
1996
Estimating functions for jump – diffusions. Zbl 07107503
Jakobsen, Nina Munkholt; Sørensen, Michael
1
2019
A review of asymptotic theory of estimating functions. Zbl 1450.62101
Jacod, Jean; Sørensen, Michael
5
2018
Efficient estimation for diffusions sampled at high frequency over a fixed time interval. Zbl 1392.62250
Jakobsen, Nina Munkholt; Sørensen, Michael
2
2017
Simulation of multivariate diffusion bridges. Zbl 1414.62085
Bladt, Mogens; Finch, Samuel; Sørensen, Michael
6
2016
Simple simulation of diffusion bridges with application to likelihood inference for diffusions. Zbl 1398.60086
Bladt, Mogens; Sørensen, Michael
10
2014
A transformation approach to modelling multi-modal diffusions. Zbl 1279.62169
Forman, Julie Lyng; Sørensen, Michael
6
2014
Statistical inference for discrete-time samples from affine stochastic delay differential equations. Zbl 06168758
Küchler, Uwe; Sørensen, Michael
1
2013
Estimating functions for diffusion-type processes. Zbl 1375.60124
Sørensen, Michael
12
2012
Statistical methods for stochastic differential equations. Selected papers based on the presentations at the 7th séminaire Européen de statistiques on “Statistics for stochastic differential equations models”, La Manga del Mar Menor, Cartagena, Spain, May 7–12, 2007. Zbl 1246.60005
Kessler, Mathieu (ed.); Lindner, Alexander (ed.); Sørensen, Michael (ed.)
4
2012
Prediction-based estimating functions: review and new developments. Zbl 1230.62111
Sørensen, Michael
4
2011
Maximum likelihood estimation for integrated diffusion processes. Zbl 05901450
Baltazar-Larios, Fernando; Sørensen, Michael
5
2010
A simple estimator for discrete-time samples from affine stochastic delay differential equations. Zbl 1209.62198
Küchler, Uwe; Sørensen, Michael
4
2010
Estimation for stochastic differential equations with a small diffusion coefficient. Zbl 1157.62055
Gloter, Arnaud; Sørensen, Michael
16
2009
Parametric inference for discretely sampled stochastic differential equations. Zbl 1180.62118
Sørensen, Michael
3
2009
The Pearson diffusions: a class of statistically tractable diffusion processes. Zbl 1198.62078
Forman, Julie Lyng; Sørensen, Michael
53
2008
Diffusion-type models with given marginal distribution and autocorrelation function. Zbl 1066.60071
Bibby, Bo Martin; Skovgaard, Ib Michael; Sørensen, Michael
40
2005
Statistical inference for discretely observed Markov jump processes. Zbl 1069.62061
Bladt, Mogens; Sørensen, Michael
31
2005
On time-reversibility and estimating functions for Markov processes. Zbl 1062.62158
Kessler, Mathieu; Sørensen, Michael
1
2005
Inference for observations on integrated diffusion processes. Zbl 1062.62157
Ditlevsen, Susanne; Sørensen, Michael
23
2004
Estimation for discretely observed diffusions using transform functions. Zbl 1049.62092
Kelly, Leah; Platen, Eckhard; Sørensen, Michael
6
2004
Small-diffusion asymptotics for discretely sampled stochastic differential equations. Zbl 1043.60050
Sørensen, Michael; Uchida, Masayuki
20
2003
Empirical process techniques for dependent data. Zbl 1005.00016
Dehling, Herold (ed.); Mikosch, Thomas (ed.); Sørensen, Michael (ed.)
15
2002
Simplified estimating functions for diffusion models with a high-dimensional parameter. Zbl 0973.60071
Bibby, Bo Martin; Sørensen, Michael
11
2001
Prediction-based estimating functions. Zbl 0998.62071
Sørensen, Michael
26
2000
Estimating equations based on eigenfunctions for a discretely observed diffusion process. Zbl 0980.62074
Kessler, Mathieu; Sørensen, Michael
56
1999
On asymptotics of estimating functions. Zbl 0982.62020
Sørensen, Michael
11
1999
A note on limit theorems for multivariate martingales. Zbl 0943.60016
Küchler, Uwe; Sørensen, Michael
11
1999
Stock returns and hyperbolic distributions. Zbl 0999.62085
Küchler, U.; Neumann, K.; Sørensen, M.; Streller, A.
8
1999
Some stationary processes in discrete and continuous time. Zbl 0930.60026
Barndorff-Nielsen, O. E.; Jensen, J. L.; Sørensen, M.
39
1998
On exponential families of Markov processes. Zbl 0907.62101
Küchler, Uwe; Sørensen, Michael
5
1998
On comparison of stopping times in sequential procedures for exponential families of stochastic processes. Zbl 0913.60036
Sørensen, Michael
1
1998
Exponential families of stochastic processes. Zbl 0882.60012
Küchler, Uwe; Sørensen, Michael
60
1997
A hyperbolic diffusion model for stock prices. Zbl 0883.90010
Bibby, Bo Martin; Sørensen, Michael
27
1997
Estimating functions for discretely observed diffusions: A review. Zbl 0906.62079
Sørensen, Michael
13
1997
On effects of discretization on estimators of drift parameters for diffusion processes. Zbl 0873.65134
Kloeden, P. E.; Platen, E.; Schurz, H.; Sørensen, M.
12
1996
On estimation for discretely observed diffusion: a review. Zbl 0893.62082
Bibly, Bo Martin; Sørensen, Michael
7
1996
Curved exponential families of stochastic processes and their envelope families. Zbl 0857.62010
Küchler, Uwe; Sørensen, Michael
3
1996
The natural exponential family generated by a semimartingale. Zbl 0888.60039
Sørensen, M.
1
1996
Martingale estimation functions for discretely observed diffusion processes. Zbl 0830.62075
Bibby, Bo Martin; Sørensen, Michael
105
1995
A review of some aspects of asymptotic likelihood theory for stochastic processes. Zbl 0828.62078
Barndorff-Nielsen, O. E.; Sørensen, M.
18
1994
Statistical analysis of a spatial birth-and-death process model with a view to modelling linear dune fields. Zbl 0790.62090
Møller, Jesper; Sørensen, Michael
4
1994
Exponential families of stochastic processes and Lévy processes. Zbl 0854.60076
Küchler, Uwe; Sørensen, Michael
3
1994
Exponential families of stochastic processes with time-continuous likelihood functions. Zbl 0814.62049
Küchler, Uwe; Sørensen, Michael
2
1994
Likelihood methods for diffusions with jumps. Zbl 0733.62087
Sørensen, Michael
11
1991
Information quantities in non-classical settings. Zbl 0870.62005
Barndorff-Nielsen, O. E.; Sørensen, M.
3
1991
On quasi likelihood for semimartingales. Zbl 0714.62075
Sørensen, Michael
6
1990
Exponential families of stochastic processes: A unifying semimartingale approach. Zbl 0721.60055
Küchler, Uwe; Sørensen, Michael
13
1989
A note on the existence of a consistent maximum likelihood estimator for diffusions with jumps. Zbl 0685.62062
Sørensen, Michael
4
1989
Some asymptotic properties of quasi likelihood estimators for semimartingales. Zbl 0725.62074
Sørensen, Michael
2
1989
On sequential maximum likelihood estimation for exponential families of stochastic processes. Zbl 0604.62074
Sørensen, Michael
14
1986
The fascination of sand. Zbl 0589.62100
Barndorff-Nielsen, Ole E.; Blæsild, Preben; Jensen, Jens Ledet; Sørensen, Michael
3
1985
On maximum likelihood estimation in randomly stopped diffusion-type processes. Zbl 0509.62075
Sorensen, Michael
11
1983
Normal variance-mean mixtures and z distributions. Zbl 0497.62019
Barndorff-Nielsen, O.; Kent, J.; Sorensen, M.
89
1982
all top 5

Cited by 885 Authors

30 Leonenko, Nikolai N.
19 Sorensen, Michael
12 Uchida, Masayuki
11 Küchler, Uwe
10 Ditlevsen, Susanne
9 De Gregorio, Alessandro
9 Šuvak, Nenad
8 Gloter, Arnaud
8 Iacus, Stefano Maria
7 Samson, Adeline
7 Sikorskii, Alla
7 Yoshida, Nakahiro
6 Barndorff-Nielsen, Ole Eiler
6 Genon-Catalot, Valentine
6 Korolev, Viktor Yur’evich
6 Taufer, Emanuele
5 Arslan, Olcay
5 Grigelionis, Bronius I.
5 Gutierrez-Sanchez, Ramon
5 Kokonendji, Célestin Clotaire
5 Nafidi, Ahmed
5 Shimizu, Yasutaka
5 Vinogradov, Vladimir V.
5 Zeifman, Alexander Izrailevich
5 Zhang, Xinsheng
4 Balakrishnan, Narayanaswamy
4 Basawa, Ishwar V.
4 Forman, Julie Lyng
4 Gourieroux, Christian
4 Gutiérrez-Jáimez, Ramón
4 Jamalizadeh, Ahad
4 Kaino, Yusuke
4 Laredo, Catherine F.
4 Mai, Hilmar
4 Pap, Gyula
4 Platen, Eckhard
4 Roberts, Gareth O.
4 Schoenmakers, John G. M.
4 Vajda, Igor
4 Weissbach, Rafael
3 Alfarano, Simone
3 Avram, Florin
3 Bakosi, Jozsef
3 Barczy, Mátyás
3 Belomestny, Denis
3 Bibbona, Enrico
3 Bingham, Nicholas Hugh
3 Chen, Song Xi
3 Chertok, A. V.
3 Favetto, Benjamin
3 Filipović, Damir
3 Heyde, Christopher Charles
3 Hwang, Sun Young
3 Jacod, Jean
3 Jimenez, Juan Carlos
3 Kebaier, Ahmed
3 Kim, Myungsuk
3 Korchagin, A. Yu.
3 Koul, Hira Lal
3 Lánský, Petr
3 Larsson, Martin
3 Lee, Sangyeol
3 Long, Hongwei
3 Ma, Chunhua
3 Ma, Chunsheng
3 Magiera, Ryszard
3 Mercuri, Lorenzo
3 Mykland, Per Aslak
3 Nicolau, João
3 Ozaki, Tohru
3 Papić, I.
3 Pfeuffer, Marius
3 Polson, Nicholas G.
3 Pommeret, Denys
3 Reiß, Markus
3 Ristorcelli, J. Raymond
3 Rroji, Edit
3 Seneta, Eugene
3 Shu, Huisheng
3 Stelzer, Robert
3 Stibůrek, David
3 Surgailis, Donatas
3 Tang, Yanlin
3 Walker, Stephen Grahm
3 Wang, Suojin
3 Wang, Yinfeng
3 Zhang, Li-Xin
3 Zhang, Shibin
2 Adke, S. R.
2 Alaya, Mohamed Ben
2 Albin, J. M. P.
2 Aletti, Giacomo
2 Antoniano-Villalobos, Isadora
2 Baldi, Paolo
2 Baltazar-Larios, Fernando
2 Bayer, Christian
2 Benth, Fred Espen
2 Beskos, Alexandros
2 Bhadra, Anindya
2 Bladt, Mogens
...and 785 more Authors
all top 5

Cited in 150 Serials

40 Statistics & Probability Letters
40 Stochastic Processes and their Applications
25 Statistical Inference for Stochastic Processes
24 Journal of Statistical Planning and Inference
20 Quantitative Finance
18 Journal of Econometrics
18 Computational Statistics and Data Analysis
17 The Annals of Statistics
17 Bernoulli
12 Stochastic Analysis and Applications
12 Statistics
12 Communications in Statistics. Theory and Methods
11 Scandinavian Journal of Statistics
11 Journal of Applied Probability
10 Journal of Multivariate Analysis
10 Methodology and Computing in Applied Probability
9 Applied Mathematics and Computation
7 Electronic Journal of Statistics
6 Advances in Applied Probability
6 Journal of Mathematical Analysis and Applications
6 Journal of Computational and Applied Mathematics
6 The Annals of Applied Probability
5 Lithuanian Mathematical Journal
5 Annals of the Institute of Statistical Mathematics
5 Statistical Papers
5 Applied Mathematical Finance
5 Finance and Stochastics
5 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
5 Asia-Pacific Financial Markets
5 Stochastics
4 The Canadian Journal of Statistics
4 Journal of Statistical Physics
4 Metrika
4 Journal of Statistical Computation and Simulation
4 Test
4 Mathematical Finance
4 Journal of the Royal Statistical Society. Series B. Statistical Methodology
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
4 Journal of the Korean Statistical Society
3 Journal of Mathematical Biology
3 Journal of Mathematical Physics
3 Kybernetika
3 Journal of Time Series Analysis
3 Sequential Analysis
3 Statistical Science
3 Annals of Operations Research
3 Communications in Statistics. Simulation and Computation
3 Annales de l’Institut Henri Poincaré. Probabilités et Statistiques
3 Journal of Mathematical Sciences (New York)
3 International Journal of Theoretical and Applied Finance
3 Econometric Theory
3 Applied Stochastic Models in Business and Industry
3 AStA. Advances in Statistical Analysis
3 The Annals of Applied Statistics
3 International Journal of Stochastic Analysis
3 Sankhyā. Series A
3 Statistics and Computing
3 Annals of Finance
2 Computers & Mathematics with Applications
2 International Journal of Control
2 Journal of Computational Physics
2 Mathematical Biosciences
2 Chaos, Solitons and Fractals
2 Biometrics
2 International Statistical Review
2 Journal of the American Statistical Association
2 Insurance Mathematics & Economics
2 Acta Applicandae Mathematicae
2 Probability Theory and Related Fields
2 Journal of Economic Dynamics & Control
2 Mathematical and Computer Modelling
2 Journal of Applied Mathematics and Stochastic Analysis
2 Computational Statistics
2 Applied Mathematical Modelling
2 Automation and Remote Control
2 European Journal of Operational Research
2 Theory of Probability and Mathematical Statistics
2 Mathematical Methods of Statistics
2 Random Operators and Stochastic Equations
2 Abstract and Applied Analysis
2 Mathematical Methods of Operations Research
2 Chaos
2 Communications in Nonlinear Science and Numerical Simulation
2 Stochastic Models
2 Multiscale Modeling & Simulation
2 Review of Derivatives Research
2 Statistical Methodology
2 Mathematics and Financial Economics
2 Journal of Statistical Theory and Practice
2 Science China. Mathematics
1 Biological Cybernetics
1 International Journal of General Systems
1 Mathematical Proceedings of the Cambridge Philosophical Society
1 Stochastics
1 Molecular Simulation
1 Bulletin of Mathematical Biology
1 Annali di Matematica Pura ed Applicata. Serie Quarta
1 The Annals of Probability
1 Fuzzy Sets and Systems
1 Information Sciences
...and 50 more Serials
all top 5

Cited in 39 Fields

405 Statistics (62-XX)
395 Probability theory and stochastic processes (60-XX)
121 Game theory, economics, finance, and other social and behavioral sciences (91-XX)
77 Numerical analysis (65-XX)
26 Biology and other natural sciences (92-XX)
18 Systems theory; control (93-XX)
14 Partial differential equations (35-XX)
10 Operations research, mathematical programming (90-XX)
8 Special functions (33-XX)
8 Ordinary differential equations (34-XX)
6 Statistical mechanics, structure of matter (82-XX)
5 Dynamical systems and ergodic theory (37-XX)
5 Harmonic analysis on Euclidean spaces (42-XX)
5 Operator theory (47-XX)
5 Computer science (68-XX)
4 Combinatorics (05-XX)
3 Functional analysis (46-XX)
3 Information and communication theory, circuits (94-XX)
2 Measure and integration (28-XX)
2 Sequences, series, summability (40-XX)
2 Approximations and expansions (41-XX)
2 Integral transforms, operational calculus (44-XX)
2 Global analysis, analysis on manifolds (58-XX)
2 Geophysics (86-XX)
1 General and overarching topics; collections (00-XX)
1 History and biography (01-XX)
1 Mathematical logic and foundations (03-XX)
1 Number theory (11-XX)
1 Commutative algebra (13-XX)
1 Real functions (26-XX)
1 Functions of a complex variable (30-XX)
1 Potential theory (31-XX)
1 Integral equations (45-XX)
1 Calculus of variations and optimal control; optimization (49-XX)
1 Differential geometry (53-XX)
1 Mechanics of deformable solids (74-XX)
1 Fluid mechanics (76-XX)
1 Optics, electromagnetic theory (78-XX)
1 Quantum theory (81-XX)

Citations by Year