SummaryThis article considers the identification problem of the jump Markov autoregressive exogenous (JMARX) systems with unknown invariant time‐delay under the framework of recursive expectation‐maximization (REM) algorithm. In this article, a recursive Q‐function is formulated for the JMARX systems, based on which the recursive sufficient statistics are obtained. Then, the parameter vectors, variance, transition probability matrix, and time‐delay are recursively estimated. A numerical example and a simulated continuous fermentation reactor process are employed to illustrate the effectiveness of the proposed algorithm.