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. In 2017 he was appointed Professor II at NTNU in Trondheim. 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 got several awards. Lately, in June 2016, he has been appointed Knight of the Order of Dannebrog by Her Majesty the Queen of Denmark, and he was appointed Doctor HC at Lund University in June 2017.

He has authored or co-authored approximately 600 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).