8
H index
8
i10 index
201
Citations
Michael Sørensen : Citation Profile
Aarhus Universitet | RESEARCH PRODUCTION: 18 Articles 14 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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31 years (1988 - 2019). Relations with other researchers
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Michael Sørensen. | Is cited by:
| Cites to:
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Main data
Where Michael Sørensen has published?
| Journals with more than one article published | # docs |
|---|---|
| Stochastic Processes and their Applications | 3 |
| Statistical Inference for Stochastic Processes | 3 |
| Scandinavian Journal of Statistics | 3 |
| Journal of the Royal Statistical Society Series B | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes | 3 |
Recent works citing Michael Sørensen (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Parameter estimation of discretely observed interacting particle systems. (2023). Podolskij, Mark ; Pilipauskait, Vytaut ; Heidari, Akram ; Amorino, Chiara. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:163:y:2023:i:c:p:350-386. Full description at Econpapers || Download paper |
| 2023 | Parameter estimation for integrated Ornstein–Uhlenbeck processes with small Lévy noises. (2023). Zhang, Xuekang ; Jiang, Ziwei ; Shu, Huisheng. In: Statistics & Probability Letters. RePEc:eee:stapro:v:199:y:2023:i:c:s0167715223000755. Full description at Econpapers || Download paper |
| 2023 | . Full description at Econpapers || Download paper |
| 2023 | Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits. (2023). Selvamuthu, Dharmaraja ; Singh, Shakti ; Damico, Guglielmo. In: Annals of Finance. RePEc:kap:annfin:v:19:y:2023:i:3:d:10.1007_s10436-022-00422-x. Full description at Econpapers || Download paper |
| 2023 | On the estimation of partially observed continuous-time Markov chains. (2023). Walker, Stephen G ; Mena, Ramses H ; Riva-Palacio, Alan. In: Computational Statistics. RePEc:spr:compst:v:38:y:2023:i:3:d:10.1007_s00180-022-01273-w. Full description at Econpapers || Download paper |
| 2023 | Adaptive inference for small diffusion processes based on sampled data. (2023). Uchida, Masayuki ; Kawai, Tetsuya. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:6:d:10.1007_s00184-022-00889-8. Full description at Econpapers || Download paper |
| 2023 | Threshold estimation for jump-diffusions under small noise asymptotics. (2023). Shimizu, Yasutaka ; Kobayashi, Mitsuki. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:26:y:2023:i:2:d:10.1007_s11203-023-09286-y. Full description at Econpapers || Download paper |
Works by Michael Sørensen:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2007 | The Pearson diffusions: A class of statistically tractable diffusion processes In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 33 |
| 2008 | The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes.(2008) In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
| 2008 | Efficient estimation for ergodic diffusions sampled at high frequency In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Parametric inference for discretely sampled stochastic differential equations In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2008 | Optimal inference in dynamic models with conditional moment restrictions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Simple simulation of diffusion bridges with application to likelihood inference for diffusions In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Maximum likelihood estimation for integrated diffusion processes In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Prediction-based estimating functions: review and new developments In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2014 | Simulation of multivariate diffusion bridges In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Simulation of multivariate diffusion bridges.(2016) In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2015 | Efficient Estimation for Diffusions Sampled at High Frequency Over a Fixed Time Interval In: CREATES Research Papers. [Full Text][Citation analysis] | paper | 0 |
| 1988 | On the Incubation Time Distribution and the Danish AIDS Data In: Journal of the Royal Statistical Society Series A. [Full Text][Citation analysis] | article | 0 |
| 2005 | Statistical inference for discretely observed Markov jump processes In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 20 |
| 2007 | DIFFUSION MODELS FOR EXCHANGE RATES IN A TARGET ZONE In: Mathematical Finance. [Full Text][Citation analysis] | article | 42 |
| 2001 | Simplified Estimating Functions for Diffusion Models with a High?dimensional Parameter In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 6 |
| 2004 | Inference for Observations of Integrated Diffusion Processes In: Scandinavian Journal of Statistics. [Full Text][Citation analysis] | article | 13 |
| 1996 | A semimartingale approach to some problems in Risk Theory In: ASTIN Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2000 | Prediction-based estimating functions In: Econometrics Journal. [Citation analysis] | article | 21 |
| 1991 | Information quantities in non-classical settings In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 0 |
| 2009 | Estimation for stochastic differential equations with a small diffusion coefficient In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 15 |
| 2019 | Estimating functions for jump–diffusions In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 0 |
| 1990 | On quasi likelihood for semimartingales In: Stochastic Processes and their Applications. [Full Text][Citation analysis] | article | 1 |
| 1996 | Curved exponential families of stochastic processes and their envelope families In: Annals of the Institute of Statistical Mathematics. [Full Text][Citation analysis] | article | 0 |
| 2010 | A simple estimator for discrete-time samples from affine stochastic delay differential equations In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 1 |
| 2018 | A review of asymptotic theory of estimating functions In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 1 |
| 2005 | On Time-Reversibility and Estimating Functions for Markov Processes In: Statistical Inference for Stochastic Processes. [Full Text][Citation analysis] | article | 0 |
| 2009 | Efficient estimation of transition rates between credit ratings from observations at discrete time points In: Quantitative Finance. [Full Text][Citation analysis] | article | 10 |
| 1996 | On effects of discretization on estimators of drift parameters for diffusion processes In: Published Paper Series. [Full Text][Citation analysis] | paper | 21 |
| 2003 | Estimating for Discretely Observed Diffusions Using Transform Functions In: Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 1994 | On Comparision of Stopping Times in Sequential Procedures for Exponential Families of Stochastic Processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1994 | On the moments of some first passage times for exponential families of processes In: SFB 373 Discussion Papers. [Citation analysis] | paper | 0 |
| 1998 | A note on limit theorems for multivariate martingales In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team