RECURSIVE  BAYESIAN  CHANGE-POINT  DETECTOR

MATLAB code:
bacd.p     Usage: [out] = bacd(signal,window_length,AR_order)
bacd.m ... cmejla@fel.cvut.cz

Reference:
Cmejla,R., Sovka,P.: Recursive Autoregressive Changepoint Detector for Sequential Signal Segmentation, Eusipco '04, Vienna, 2004