Switching dynamical systems are an expressive model class for the analysis of time-series data. As in many fields within the natural and engineering sciences, the systems under study typically evolve continuously in time, it is natural to consider continuous-time model formulations consisting of switching stochastic differential equations governed by an underlying Markov jump process. Inference in these types of models is however notoriously difficult, and tractable computational schemes are rare. In this work, we propose a novel inference algorithm utilizing a Markov Chain Monte Carlo approach. The presented Gibbs sampler allows to efficiently obtain samples from the exact continuous-time posterior processes. Our framework naturally enables Bayesian parameter estimation, and we also include an estimate for the diffusion covariance, which is oftentimes assumed fixed in stochastic differential equations models. We evaluate our framework under the modeling assumption and compare it against an existing variational inference approach.

Switching dynamical systems provide a powerful, interpretable modeling framework for inference in time-series data in, e.g., the natural sciences or engineering applications. Since many areas, such as biology or discrete-event systems, are naturally described in continuous time, we present a model based on a Markov jump process modulating a subordinated diffusion process. We provide the exact evolution equations for the prior and posterior marginal densities, the direct solutions of which are however computationally intractable. Therefore, we develop a new continuous-time variational inference algorithm, combining a Gaussian process approximation on the diffusion level with posterior inference for Markov jump processes. By minimizing the path-wise Kullback-Leibler divergence we obtain (i) Bayesian latent state estimates for arbitrary points on the real axis and (ii) point estimates of unknown system parameters, utilizing variational expectation maximization. We extensively evaluate our algorithm under the model assumption and for real-world examples.