Henrik Madsen received his PhD in Statistics from the Technical University of Denmark (DTU) in 1986. The same year, he was appointed Assistant Professor in Statistics, becoming Associate Professor in 1989. In 1999, he was appointed Professor in Mathematical Statistics, with a particular focus on stochastic dynamical systems.

A key area of research is linked to the use of stochastic differential equations (SDEs) for modelling partially observed physical systems. These approaches have helped bridge the gap between physics-based modelling and modern AI-based techniques, enabling more robust and interpretable models. Similarly, he has contributed to methods for forecasting ensuring spatial and temporal coherency.

In June 2016, he was appointed Knight of the Order of Dannebrog by Her Majesty the Queen of Denmark. In June 2017, he was awarded an honorary doctorate (Doctor Honoris Causa) from Lund University.

Henrik Madsen has authored or co-authored approximately 800 scientific publications and 12 books. His most recent books include Time Series Analysis (2008), General and Generalized Linear Models (2011), Integrating Renewables in Electricity Markets (2013), Statistics for Finance (2015), and Statistical Modelling of Occupant Behaviour (2024).