2 packages on CRAN
Implements various mainstream and specialised changepoint methods for finding single and multiple changepoints within data. Many popular non-parametric and frequentist methods are included. The cpt.mean(), cpt.var(), cpt.meanvar() functions should be your first point of call.
Implements the multiple changepoint algorithm PELT with a nonparametric cost function based on the empirical distribution of the data. This package extends the changepoint package (see Killick, R and Eckley, I (2014) <doi:10.18637/jss.v058.i03> ).