Localization of exact positions of the fundamental heart sounds (FHS) is an essential step towards automatic analysis of heart sound phonocardiogram (PCG) recordings, the automatic segmentation allows for data-driven classification of heart pathological events. Current approach using probabilistic models such as hidden Markov models (HMMs) has improved accuracy of heart sound segmentation. In this paper, we propose a switching linear dynamic system (SLDS) of piece-wise stationary auto-regressive (AR) processes for segmenting the heart sounds into four fundamental components with distinct second order structure (auto-correlation). The SLDS is able to capture simultaneously both the continuous state-space in the hidden dynamics in PCG, and the regime switching in the dynamics using a discrete Markov chain. This overcomes limitation of HMMs which is based on a
single-layer of discrete states. Compared to AR processes, the Gaussian mixture densities in HMM do not account for the temporal auto-correlation structure in PCG which has one-to-one correspondence to frequency content a distinctive feature of HS components. We introduce three schemes for model estimation: (1) switching Kalman filter (SKF) model. (2) refinement by switching Kalman filter (SKS), and (3) fusion of SKF and the duration-dependent Viterbi algorithm (SKF-Viterbi). Results on a large PCG dataset of Physionet/Challenge 2016 shows SKF-Viterbi significantly outperforms SKF by improvement of segmentation accuracy from 71% to 84.2%.