I am examining a time series which clearly has two "regimes" (by visual inspection), separated by what appears to be a structural break. I'm trying to get as much information as possible out of the series without relying on parametric models. Is there a way to test for this structural break without having to fit a time series model? I'm aware of the possibility for an $F$-test for equal variances, but this implicitly assumes that the series is Gaussian, which it is not. I'm also aware of the test of Bai and Perron, but this requires a linear model (http://www.econ.nyu.edu/user/baij/econometrica98.pdf).
I'm interested in detecting a change in some (robust) measure of location and scale. Any pointers as to whether and how I can accomplish this "model-free" are much appreciated.