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Publications by Michael Sorensen

Efficient Estimation for Ergodic Diffusions Sampled at High Frequency

SSRN Electronic Journal

English

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Adaptive Invariant Density Estimation for Ergodic Diffusions Over Anisotropic Classes

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Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations

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Model-Based Estimation of High Frequency Jump Diffusions With Microstructure Noise and Stochastic Volatility

SSRN Electronic Journal

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Wavelet Estimation in Diffusions With Periodicity

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A Refinement to Ait-Sahalia's (2002) Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-Form Approximation Approach

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Asymptotic Behavior of the Maximum Likelihood Estimator for Ergodic and Nonergodic Square-Root Diffusions

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Non-Parametric Drift Estimation for Diffusions From Noisy Data

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High-Resolution Estimation of Multidimensional Spectra From Unevenly Sampled Data

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Simple Estimators for Parametric Markovian Trend of Ergodic Processes Based on Sampled Data

JOURNAL OF THE JAPAN STATISTICAL SOCIETY

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