LOESS that allows discontinuities 
*

*Is there a modelling technique like LOESS that allows for zero, one, or more discontinuities, where the timing of the discontinuities are not known apriori?

*If a technique exists, is there an existing implementation in R?

 A: do it with koencker's broken line regression, see page 18 of this vignette
http://cran.r-project.org/web/packages/quantreg/vignettes/rq.pdf
In response to Whuber last comment:
This estimator is defined like this.
$x\in\mathbb{R}$, $x_{(i)}\geq x_{(i-1)}\;\forall i$,
$e_i:=y_{i}-\beta_{i}x_{(i)}-\beta_0$,
$z^+=\max(z,0)$, $z^-=\max(-z,0)$, 
$\tau \in (0,1)$, $\lambda\geq 0$ 
$\underset{\beta\in\mathbb{R}^n|\tau, \lambda}{\min.} \sum_{i=1}^{n} \tau e_i^++\sum_{i=1}^{n}(1-\tau)e_i^-+\lambda\sum_{i=2}^{n}|\beta_{i}-\beta_{i-1}|$
$\tau$ gives the desired quantile (i.e. in the example, $\tau=0.9$). $\lambda$ directs the number of breakpoint: for $\lambda$ large this estimator shrinks to no break point (corresponding to the classicla linear quantile regression estimator).
Quantile Smoothing Splines
Roger Koenker, Pin Ng, Stephen Portnoy
Biometrika, Vol. 81, No. 4 (Dec., 1994), pp. 673-680
PS: there is a open acess working paper with the same name by the same others but it's not the same thing.
A: Here are some methods and associated R packages to solve this problem
Wavelet thresolding estimation in regression allows for discontonuities. You may use the package wavethresh in R.   
A lot of tree based methods (not far from the idea of wavelet) are usefull when you have disconitnuities. Hence package treethresh, package tree !
In the familly of "local maximum likelihood" methods... among others: 
Work of Pozhel and Spokoiny: Adaptive weights Smoothing (package aws) 
Work by Catherine Loader:  package locfit
I guess any kernel smoother with locally varying bandwidth makes the point but I don't know R package for that. 
note: I don't really get what is the difference between LOESS and regression... is it the idea that in LOESS alrgorithms should be "on line"  ? 
A: It should be possible to code a solution in R using the non-linear regression function nls, b splines (the bs function in the spline package, for example) and the ifelse function.  
A: It sounds like you want to perform multiple changepoint detection followed by independent smoothing within each segment.  (Detection can be online or not, but your application is not likely to be online.)  There's a lot of literature on this; Internet searches are fruitful.  


*

*DA Stephens wrote a useful introduction to Bayesian changepoint detection in 1994 (App. Stat. 43 #1 pp 159-178: JSTOR).  

*More recently Paul Fearnhead has been doing nice work (e.g., Exact and efficient Bayesian inference for multiple changepoint problems, Stat Comput (2006) 16: 203-213: Free PDF).  

*A recursive algorithm exists, based on a beautiful analysis by D Barry & JA Hartigan

*

*Product Partition Models for Change Point Models, Ann. Stat. 20:260-279: JSTOR; 

*A Bayesian Analysis for Change Point Problems, JASA 88:309-319: JSTOR.  


*One implementation of the Barry & Hartigan algorithm is documented in O. Seidou & TBMJ Ourda, Recursion-based Multiple Changepoint Detection in Multivariate Linear Regression and Application to River Streamflows, Water Res. Res., 2006: Free PDF.  


I haven't looked hard for any R implementations (I had coded one in Mathematica a while ago) but would appreciate a reference if you do find one.
