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To model sequentially observed multivariate nonstationary count data, we propose a switching Poisson-gamma dynamical systems (SPGDS), a dynamic probabilistic network with switching mechanism. Different from previous models, SPGDS assigns its latent variables into mixture of gamma distributed parameters to model complex sequences and describe the nonlinear dynamics, meanwhile, capture various temporal dependencies. Moreover, SPGDS can model all discrete and nonnegative real data by linking them to latent counts. To take advantage of Bayesian nonparametrics in handling the unknown number of mixture components, we integrate Dirichlet process (DP) mixture into SPGDS and develop an infinite switching Poisson-gamma dynamical systems (iSPGDS). For efficient and nonparametric inference, we develop a infinite switching recurrent variational inference network, combined with a scalable …