Comparative genomic hybridization array experiments that investigate gene copy number changes present new challenges for statistical analysis and call for methods that incorporate spatial dependence between sequences along the chromosome. For this purpose, we propose a novel method called CGHmix. It is based on a spatially structured mixture model with three states corresponding to genomic sequences that are either unmodified, deleted or amplified. Inference is performed in a Bayesian framework. From the output, posterior probabilities of belonging to each of the three states are estimated for each genomic sequence and used to classify them.