1. A method for tracking a target in a sequence of measurements, comprising: modeling the target with a switching linear dynamic system (SLDS) comprising a plurality of dynamic models; associating each dynamic model with a switching state such that a model is selected when its associated switching state is true; determining, for a given measurement, and for each possible switching state, a set of continuous state estimates; determining a state transition record by determining and recording, for a given measurement and for each possible switching state, an optimal previous switching state, based on the measurement sequence, wherein the optimal previous switching state optimizes a transition probability based on the set of continuous state estimates; fitting a measurement model of the target to the measurement sequence; and estimating a trajectory responsive to fitting the measurement model, the state transition record and SLDS parameters, said estimated trajectory comprising a sequence of continuous state estimates of the target corresponding to the measurement sequence.