Michael Sørensen

Available identifiers

zbMath Open sorensen.michaelMaRDI QIDQ222457

List of research outcomes

Publication	Date of Publication	Type
Corrigendum to: ``Simple simulation of diffusion bridges with application to likelihood inference for diffusions	2020-12-07	Paper
Simulation of Multivariate Diffusion Bridges	2019-06-12	Paper
On the Size Distribution of Sand	2017-01-16	Paper
Simple simulation of diffusion bridges with application to likelihood inference for diffusions	2014-05-05	Paper
A transformation approach to modelling multi-modal diffusions	2014-01-23	Paper
Statistical inference for discrete-time samples from affine stochastic delay differential equations	2013-05-30	Paper
https://portal.mardi4nfdi.de/entity/Q4913194	2013-04-03	Paper
Prediction-based estimating functions: review and new developments	2011-10-25	Paper
Maximum Likelihood Estimation for Integrated Diffusion Processes	2011-05-31	Paper
A simple estimator for discrete-time samples from affine stochastic delay differential equations	2011-04-08	Paper
Parametric Inference for Discretely Sampled Stochastic Differential Equations	2009-11-27	Paper
The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes	2009-08-08	Paper
Estimation for stochastic differential equations with a small diffusion coefficient	2009-04-02	Paper
Statistical Inference for Discretely Observed Markov Jump Processes	2005-09-01	Paper
Diffusion-type models with given marginal distribution and autocorrelation function	2005-06-23	Paper
On time-reversibility and estimating functions for Markov processes	2005-06-20	Paper
Inference for Observations of Integrated Diffusion Processes	2005-05-20	Paper
Estimation for discretely observed diffusions using transform functions	2004-10-25	Paper
Small-diffusion asymptotics for discretely sampled stochastic differential equations	2004-06-10	Paper
Prediction‐based estimating functions	2002-11-28	Paper
Stock returns and hyperbolic distributions	2002-10-06	Paper
On asymptotics of estimating functions	2002-04-07	Paper
Estimating equations based on eigenfunctions for a discretely observed diffusion process	2002-03-06	Paper
Simplified Estimating Functions for Diffusion Models with a High‐dimensional Parameter	2001-07-11	Paper
A note on limit theorems for multivariate martingales	2000-09-04	Paper
Some stationary processes in discrete and continuous time	2000-01-31	Paper
On Comparison of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes	1999-03-14	Paper
https://portal.mardi4nfdi.de/entity/Q4215579	1998-10-26	Paper
https://portal.mardi4nfdi.de/entity/Q4396365	1998-06-14	Paper
On exponential families of Markov processes	1998-02-09	Paper
A hyperbolic diffusion model for stock prices	1997-10-05	Paper
Information quantities in non-classical settings	1997-09-23	Paper
Exponential families of stochastic processes	1997-08-19	Paper
On effects of discretization on estimators of drift parameters for diffusion processes	1997-05-04	Paper
Exponential families of stochastic processes and Lévy processes	1997-01-05	Paper
Curved exponential families of stochastic processes and their envelope families	1996-12-01	Paper
A Review of Some Aspects of Asymptotic Likelihood Theory for Stochastic Processes	1996-01-02	Paper
https://portal.mardi4nfdi.de/entity/Q4356499	1996-01-01	Paper
Martingale estimation functions for discretely observed diffusion processes	1995-12-12	Paper
https://portal.mardi4nfdi.de/entity/Q4322397	1995-03-20	Paper
https://portal.mardi4nfdi.de/entity/Q4294304	1994-06-28	Paper
Stochastic Models of Sand Transport by Wind and Two Related Estimation Problems	1993-12-12	Paper
https://portal.mardi4nfdi.de/entity/Q3359614	1991-01-01	Paper
On quasi likelihood for semimartingales	1990-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q4203656	1989-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q5203524	1989-01-01	Paper
Exponential Families of Stochastic Processes: A Unifying Semimartingale Approach	1989-01-01	Paper
On Sequential Maximum Likelihood Estimation for Exponential Families of Stochastic Processes	1986-01-01	Paper
Classes of diffusion-type processes with a sufficient reduction	1986-01-01	Paper
https://portal.mardi4nfdi.de/entity/Q3718056	1985-01-01	Paper
On Maximum Likelihood Estimation in Randomly Stopped Diffusion-Type Processes	1983-01-01	Paper
Normal Variance-Mean Mixtures and z Distributions	1982-01-01	Paper

Research outcomes over time

Doctoral students

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Known relations from the MaRDI Knowledge Graph

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This page was built for person: Michael Sørensen