[Feature Request] any plan to implement changepoint kernel like the one in gpflow?

[abcde-1447]

🚀 Feature Request

Hi, I found this changepoint kernel (https://gpflow.readthedocs.io/en/master/_modules/gpflow/kernels/changepoints.html#ChangePoints) in gpflow to be quite useful for regression when there are changes in kernel parameters (scaling factor, variance, etc), but there does not seem to exist in current version of gpytorch. I am just wondering if there is a plan to implement similar things in gpytorch?

Thanks!

[Balandat]

I am not aware of any plans for this, but glancing at the code it seems like it should be relatively straightfoward to implement something like this in gpytorch. We're happy to accept PRs for this :)