I’m not sure how you would combine GPs and HMM although it should be possible in principle. PyMC3 is mainly tuned towards continuous models (but doesn’t rule out discrete models either), so that might not be a smooth path. If you’ve been using pm-prophet, you might want to get in touch with @luca_giacomel who has been experimenting with change-points in Prophet: https://twitter.com/luca_giacomel/status/1049985944403812353