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.