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This paper presents a new method of applying auto-regressive (AR) model and hidden Markov model (HMM) to fault diagnosis of power electronic circuit. AR coefficients is used as Exacting the features of the states of the circuit firstly .Then fault modes are trained and recognized by hidden Markov model. Finally, a three-phase SCR rectifier circuit with inductive load is used as an example to illustrate the new approach of fault diagnosis. The experimental results show that the method is feasible and effective.