Autoregressive Markov switching (ARMS) time series models are used to represent real-world signals whose dynamics may change over time. They have found application in many areas of the natural and social sciences, as well as in engineering. In general, inference in this kind of systems involves two problems: (a) detecting the number of distinct dynamical models that the signal may adopt and (b) estimating any unknown parameters in these models. In this paper, we introduce a class of ARMS time series models that includes many systems resulting from the discretisation of stochastic delay differential equations (DDEs). Remarkably, this class includes cases in which the discretisation time grid is not necessarily aligned with the delays of the DDE, resulting in discrete-time ARMS models with real (non-integer) delays. We describe methods for the maximum likelihood detection of the number of dynamical modes and the estimation of unknown parameters (including the possibly non-integer delays) and illustrate their application with an ARMS model of El Ni\~no--southern oscillation (ENSO) phenomenon.
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