Many applications of metal oxide gas sensors can benefit from reliable algorithmsto detect significant changes in the sensor response. Significant changes indicate a changein the emission modality of a distant gas source and occur due to a sudden change ofconcentration or exposure to a different compound. As a consequence of turbulent gastransport and the relatively slow response and recovery times of metal oxide sensors,their response in open sampling configuration exhibits strong fluctuations that interferewith the changes of interest. In this paper we introduce TREFEX, a novel change pointdetection algorithm, especially designed for metal oxide gas sensors in an open samplingsystem. TREFEX models the response of MOX sensors as a piecewise exponentialsignal and considers the junctions between consecutive exponentials as change points. Weformulate non-linear trend filtering and change point detection as a parameter-free convexoptimization problem for single sensors and sensor arrays. We evaluate the performanceof the TREFEX algorithm experimentally for different metal oxide sensors and severalgas emission profiles. A comparison with the previously proposed GLR method shows aclearly superior performance of the TREFEX algorithm both in detection performance andin estimating the change time.