An attempt to combine the Bayesian change point algorithm with the Kalman Filter. You can read the details at https://analyticgarden.blogspot.com/2021/09/kalman-filter-and-change-points.html, https://analyticgarden.blogspot.com/2021/09/kalman-filter-and-change-points-part-2.html and https://analyticgarden.blogspot.com/2021/12/kalman-filter-and-change-points-part-3.html.