This chapter focuses on methods from statistical physics and probability theory allowing the analysis of spike trains in neural networks. Taking as an example the retina we present recent works attempting to understand how retina ganglion cells encode the information transmitted to the visual cortex via the optical nerve, by analyzing their spike train statistics. We compare the maximal entropy models used in the literature of retina spike train analysis to rigorous results establishing the exact form of spike train statistics in conductance-based Integrate-and-Fire neural networks. 1.1 Introduction Given a stimulus from the external world (e.g., visual scene, sound or smell) biological sensors at the periphery of the nervous system are able to transduce the physical manifestations of this stimulus (light emission, air pressure variations, chemical concentrations) into sequences of action potentials (spike trains), which propagate through the nervous system. Then, the brain is able to analyze those spike trains and infer crucial information on the nature of the stimulus. Critical-yet unsolved-questions in neuroscience are How is the physical signal encoded by the nervous system? How does the brain analyze the spike trains? What are the underlying computational coding principles? At the current stage of scientific knowledge, answering those questions is still a challenge for biology and computational neuroscience. Among sensory systems the retina provides functionality such as detection of movement, orientation, temporal and spatial prediction, response to flash omissions and contrast, that were up to recently viewed as the exclusive duty of higher brain centers [24]. The retina is an accessible part of the brain [15] and a prominent system to study the neurobiology and the underlying computational capacity of the neural coding. As a matter of fact, there is currently a wide research activity in understanding how the retina encodes visual information. However, basic questions are still open, such as: Are the ganglion cells (which send spikes from the eyes to the brain via the optical nerve), independent signal-encoders or are neural correlations important for coding a visual scene, and how to interpret them?