Michael Sørensen

Michael Sørensen obtained his PhD in statistics from Aarhus University in 1986, and since 1997 he has been a professor of mathematical statistics at the University of Copenhagen.

He is a member of the Royal Danish Academy of Sciences and Letters, was the scientific coordinator of the EU research training network Statistical Methods for Dynamical Stochastic Models (2000 - 2004), and is the principal investigator of the Copenhagen University Excellence Programme project Statistical Methods for Complex and High Dimensional Models (2008 - 2013).

His main research interests include statistical inference for stochastic processes, in particular discrete time sampling of continuous timeprocesses such as models given by stochastic differential equations and jump processes. He has written more than 70 papers in peer reviewed publications including Bernoulli, Journal of the Royal Statistical Society, Mathematical Finance, Finance and Stochastics, and Scandinavian Journal of Statistics. He is a member of the editorial board of Stochastic Processes and their Applications, Statistical Inference for Stochastic Processes, Brazilian Journal of Probability and Statistics, and ALEA - Latin American Journal of Probability and Mathematical Statistics, and he is chairman of the Governing Board of the Scandinavian Journal of Statistics.


Simple simulation of diffusion bridges with application to likelihood inference for diffusions. / Bladt, Mogens; Sørensen, Michael.

I: Bernoulli, Vol. 20, Nr. 2, 2014, s. 645-675.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

A transformation approach to modeling multi-modal diffusions. / Forman, Julie Lyng; Sørensen, Michael.

I: Journal of Statistical Planning and Inference, Vol. 146, 2014, s. 56-69.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Statistical inference for discrete-time samples from affine stochastic delay differential equations. / Küchler, Uwe; Sørensen, Michael.

I: Bernoulli, Vol. 19, Nr. 2, 2013, s. 409 - 425.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Estimating functions for diffusion-type processes. / Sørensen, Michael.

Statistical Methods for Stochastic Differential Equations. red. / Mathieu Kessler; Alexander Lindner; Michael Sørensen. C R C Press LLC, 2012. s. 1 - 107 (Monographs on Statistics and Applied Probability, Vol. 124).

Publikation: Forskning - fagfællebedømt › Bidrag til bog/antologi

Statistical Methods for Stochastic Differential Equations. / Sørensen, Michael (Redaktør); Kessler, Mathieu (Redaktør); Lindner, Alexander (Redaktør).

C R C Press LLC, 2012. 507 s. (Monographs on Statistics and Applied Probability, Vol. 124).

Publikation: Forskning - fagfællebedømt › Antologi

Prediction-based estimating functions: Review and new developments. / Sørensen, Michael.

I: Brazilian Journal of Probability and Statistics, Vol. 25, Nr. 3, 2011, s. 362-391.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

 A simple estimator for discrete-time samples from affine stochastic delay differential equations. / Sørensen, Michael.

I: Statistical Inference for Stochastic Processes : An International Journal devoted to Time Series Analysis and the Statistics of Continuous Time Processes and Dynamical Systems, Vol. 13, 2010, s. 125-132.

Publikation: Forskning - fagfællebedømt › Tidsskriftartikel

Estimating functions for discretely sampled diffusion-type models. / Sørensen, Michael; Jacobsen, Martin; Bibby, Bo Martin.

Handbook of Financial Econometrics. red. / Yacine Ait-Sahalia; Lars Peter Hansen. Vol. 1 Oxford : North-Holland, 2010. s. 203 - 268.

Publikation: Forskning › Bidrag til bog/antologi

 Maximum likelihood estimation for integrated diffusion processes. / Sørensen, Michael; Baltazar-Larios, Fernando.

Contemporary Quantitative Finance: Essays in Honour of Eckhard Platen. red. / Carl Chiarella; Alexander Novikov. Springer Science+Business Media B.V., 2010. s. 407-423.

Publikation: Forskning › Bidrag til bog/antologi