[R] any implementations for adaptive modeling of time series?

[Peter Nimda]

Hallo,

my noisy time series represent a fading signal comprising of long
enough parts with a simple trend inside of each such a part.
Transition from one part into another is always a non-smooth
and very sharp/acute. In other words I have a piecewise
polynomial noisy curve asymptotically converging to the
biased constant, points between pieces are non-differentiable.

I am looking for implementations of models adequate for such a
data. Are there any possibilities to adapt the ARIMA or
MCMC?

Many thanks in advance for any help/URLs