He got a PhD in Statistics at the Technical University of Denmark in 1986. He was appointed Ass. Prof. in Statistics in 1986, Assoc. Prof. in 1989, and Professor in Mathematical Statistics with a special focus on Stochastic Dynamical Systems in 1999. His main research interest is related to analysis and modelling of stochastic dynamics systems. This includes signal processing, time series analysis, identification, estimation, grey-box modelling, prediction, optimization and control. The applications are mostly related to Energy Systems, Informatics, Environmental Systems, Bioinformatics, Biostatistics, Process Modelling and Finance.
He has authored or co-authored approximately 500 papers and 12 books. The most recent books are Time Series Analysis (2008); General and Generalized Linear Models (2011); Integrating Renewables in Electricity Markets (2013), and Statistics for Finance (2015).