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Towards a better understanding of emotion in speech, it is important to understand how emotion changes and when it changes. Recognizing emotions using pre-segmented speech utterances results in a loss in continuity of emotions and does not provide insights into emotion changes. In this paper, we propose an investigation into emotion change detection from the perspective of exchangeability of data points observed sequentially using a martingale framework. Within the framework, a per-frame GMM likelihood based approach is proposed as a measure of strangeness from a particular emotion class.