In this paper, we examined methods for analysing EEG (Electroencephalogram) during music listening and the relationship between EEG and music cognition. We especially focused on non-linear signal analysis for EEGs. We calculated correlation dimension (CD) and Lyapunov exponents (LE) signals of interest for two healthy subjects. Thus, we try to obtain the experimental results from the beginnings works about the possibility of medical treatment by music.