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Michael Sørensen

Michael Sørensen

D-Index & Metrics

Mathematics

D-Index
40
Citations
6068
World Ranking
2074
National Ranking
10

Overview

Michael Sørensen is affiliated with the University of Copenhagen in Denmark and specializes in mathematics, with a particular focus on statistics and probability. Their research includes contributions to finance, computational theory, nuclear and high energy physics, as well as spectroscopy.

Sørensen's work primarily addresses topics related to stochastic processes and financial applications, statistical methods and inference, advanced mathematical modeling in engineering, and Markov chains and Monte Carlo methods. Additionally, their research extends into NMR spectroscopy and diffusion coefficients in liquids.

The scientist has published in a range of academic venues, including:

  • arXiv (Cornell University)
  • Bernoulli
  • Japanese Journal of Statistics and Data Science
  • Journal of the Royal Statistical Society Series B (Statistical Methodology)
  • Journal of the Royal Statistical Society Series A (Statistics in Society)

Recent publications include:

  • Corrigendum to "Simple simulation of diffusion bridges with application to likelihood inference for diffusions" (2020, Bernoulli)
  • Prediction-based estimation for diffusion models with high-frequency data (2021, Japanese Journal of Statistics and Data Science)
  • Corrigendum to 'Simulation of Multivariate Diffusion Bridges' (2022, Journal of the Royal Statistical Society Series B (Statistical Methodology))
  • Prediction-based estimation for diffusion models with high-frequency data (2020, arXiv (Cornell University))
  • Ole Eiler Barndorff-Nielsen, 1935-2022 (2022, Journal of the Royal Statistical Society Series A (Statistics in Society))

The scientist frequently collaborates with other researchers, with notable coauthors including Mogens Bladt, Emil S. Jørgensen, Marcin Mider, Samuel Finch, and Steffen L. Lauritzen. Among these, the most frequent coauthors are Mogens Bladt and Emil S. Jørgensen.

Best Publications

  • Martingale estimation functions for discretely observed diffusion processes

    Bo Martin Bibby;Michael Sørensen

  • Normal Variance-Mean Mixtures and z Distributions

    O. Barndorff-Nielsen;J. Kent;M. Sørensen

  • Exponential families of stochastic processes

    Uwe Küchler;Michael Sørensen

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

    Mathieu Kessler;Michael Sørensen

  • Hyperbolic Processes in Finance

    Bo Martin Bibby;Michael Sørensen

  • Statistical inference for discretely observed Markov jump processes

    Mogens Bladt;Michael Sørensen

  • An analytic model of wind-blown sand transport

    M. Sørensen

  • The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes

    Julie Lyng Forman;Michael Sørensen

  • A hyperbolic diffusion model for stock prices

    Bo Martin Bibby;Michael M. Sørensen

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

    Bo Martin Bibby;Ib Michael Skovgaard;Michael Sørensen

  • Prediction-based estimating functions

    Michael Sørensen

  • Some stationary processes in discrete and continuous time

    O. E. Barndorff-Nielsen;J. L. Jensen;M. Sørensen

  • Vertical variation of particle speed and flux density in aeolian saltation: Measurement and modeling

    Keld R. Rasmussen;Michael Sørensen

  • DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE

    Kristian Stegenborg Larsen;Michael Sørensen

  • On asymptotics of estimating functions

    Michael Sørensen

  • Estimating Functions for Discretely Observed Diffusions: A Review

    M. Sorensen

  • Likelihood Methods for Diffusions with Jumps

    Michael Sørensen

  • Stock returns and hyperbolic distributions

    U. Küchler;K. Neumann;M. Sørensen;A. Streller

  • Statistical Methods for Stochastic Differential Equations

    Mathieu Kessler;Alexander Lindner;Michael Sorensen

  • Small-diffusion asymptotics for discretely sampled stochastic differential equations

    Michael Sørensen;Masayuki Uchida

  • Inference for Observations of Integrated Diffusion Processes

    Susanne Ditlevsen;Michael Sørensen

  • Comment: A Selective Overview of Nonparametric Methods in Financial Econometrics

    Michael Sørensen

Frequent Co-Authors

Ole E. Barndorff-Nielsen
Ole E. Barndorff-Nielsen Aarhus University
Kanti V. Mardia
Kanti V. Mardia University of Leeds
Eckhard Platen
Eckhard Platen University of Technology Sydney
Peter E. Kloeden
Peter E. Kloeden University of Tübingen
Anthony C. Atkinson
Anthony C. Atkinson London School of Economics and Political Science
Albert Gjedde
Albert Gjedde University of Copenhagen
Niels Møller
Niels Møller Aarhus University
Alan F. Hofmann
Alan F. Hofmann University of California, San Diego
Helle S. Waagepetersen
Helle S. Waagepetersen University of Copenhagen
Gareth O. Roberts
Gareth O. Roberts University of Warwick

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