When we listen to music, our emotions can change due to changes in our brain response. Because of this, a large number of research projects for classifying the emotional response using brain signals when listening to music through machine learning techniques emerged. On the contrary, to our knowledge, there is no previous research attempting to estimate the dynamic changes in the electroencephalogram (EEG) response under music stimuli through machine learning techniques. Therefore, in this manuscript, we proposed an approach to predict and anticipate changes in the EEG signal under music stimuli. Using the DEAP dataset, we split the EEG response to music stimuli into one-second length frames. After that, we compared the changes in the power of the brain signal of consecutive frames through two one-tailed Wilcoxon rank-sum tests. This test allowed us to label the changes in the second frame as "lower", "similar"or "higher"signal compared to the first frame. Then, we attempted to predict these changes using a Support-Vector Machine (SVM) classifier with stratified 5-fold validation with different input combinations (only music, only brain signal, or a combination of both). Due to the use of multi-label classification with imbalanced data, we measured the results through F1-Scores. Over chance level predictions of the changes of signal power were obtained when using the previous second brain signal for the different channels and bands, especially in the frontal F3 and F4 channels.