Temperature control for a large data center is both important and expensive. On the one hand, many of the components produce a great deal of heat, and on the other hand, many of the components require temperatures below a fairly low threshold for reliable operation. A statistical framework is proposed within which the behavior of a large cooling system can be modeled and forecast under both steady state and perturbations. This framework is based upon an extension of multivariate Gaussian autoregressive hidden Markov models (HMMs). The estimated parameters of the fitted model provide useful summaries of the overall behavior of and relationships within the cooling system. Predictions under system perturbations are useful for assessing potential changes and improvements to be made to the system. Many data centers have far more cooling capacity than necessary under sensible circumstances, thus resulting in energy inefficiencies. Using this model, predictions for system behavior after a particular component of the cooling system is shut down or reduced in cooling power can be generated. Steady-state predictions are also useful for facility monitors. System traces outside control boundaries flag a change in behavior to examine. The proposed model is fit to data from a group of air conditioners within an enterprise data center from the IT industry. The fitted model is examined, and a particular unit is found to be underutilized. Predictions generated for the system under the removal of that unit appear very reasonable. Steady-state system behavior also is predicted well. © 2010 American Statistical Association.