A predictive modular neural network method is applied to the problem of unsupervised time-series segmentation. The method consists of the concurrent application of two algorithms: one for source identification, the other for time-series classification. The source identification algorithm discovers the sources generating the time series, assigns data to each source, and trains one predictor for each source. The classification algorithm recursively computes a credit function for each source, based on the competition of the respective predictors, according to their predictive accuracy; the credit function is used for classification of the time-series observation at each time step. The method is tested by numerical experiments.