60 citations · 230 across the 10 of their papers we have counts for
12 papers
Prediction-based estimation for diffusion models with high-frequency data
Emil S. Jørgensen, Michael Sørensen
This paper obtains asymptotic results for parametric inference using prediction-based estimating functions when the data are high frequency observations of a diffusion process with…
Simulating bridges using confluent diffusions
Paul A. Jenkins, Murray Pollock, Gareth O. Roberts +1
Diffusions are a fundamental class of models in many fields, including finance, engineering, and biology. Simulating diffusions is challenging as their sample paths are infinite-di…
Toroidal diffusions and protein structure evolution
Eduardo García-Portugués, Michael Golden, Michael Sørensen +3
This chapter shows how toroidal diffusions are convenient methodological tools for modelling protein evolution in a probabilistic framework. The chapter addresses the construction…
A review of asymptotic theory of estimating functions
Jean Jacod, Michael Sørensen
Asymptotic statistical theory for estimating functions is reviewed in a generality suitable for stochastic processes. Conditions concerning existence of a consistent estimator, uni…
Estimating functions for jump-diffusions
Nina Munkholt Jakobsen, Michael Sørensen
Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go…
Langevin diffusions on the torus: estimation and applications
Eduardo García-Portugués, Michael Sørensen, Kanti V. Mardia +1
We introduce stochastic models for continuous-time evolution of angles and develop their estimation. We focus on studying Langevin diffusions with stationary distributions equal to…