This work presents the Autorregresive switching-Markov Model (AR-HMM) as a technique that allows modelling time series which are controlled by some unobserved process and finite time lags. Our objetive is to bring to light the potential of this method to give valuable information about how an efficient control strategy can be performed. As a case of study, we apply the method to the dengue fever epidemics (DF) in 2001 in Havana. For this time series, a first experiment with real data is performed in order to obtain the characterization of differents stages of the epidemics.