A copy number variation (CNV) is a difference between genotypes in the number of copies of a genomic region. Next generation sequencing (NGS) technologies provide sensitive and accurate tools for detecting genomic variations that include CNVs. However, statistical approaches for CNV identification using NGS are limited. We propose a new methodology for detecting CNVs using NGS data. This method (henceforth denoted by m-HMM) is based on a hidden Markov model with emission probabilities that are governed by mixture distributions. We use the Expectation-Maximization (EM) algorithm to estimate the parameters in the model.