In this chapter, it is shown how the two separate models of the previous chapter, the hidden Markov model (HMM) and the nonlinear state-space model (NSSM), can be combined into one switching NSSM. The chapter begins with Bayesian versions of the two individual models, the HMM in Section 5.1 and the NSSM in Section 5.2. The switching model is introduced in Section 5.3.
