60 citations · 230 across the 10 of their papers we have counts for
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stat.ME2017
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…
stat.ME2017★ 15 cited
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…