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Sleep has been regarded as a testing situation for the autonomic nervous system, because its activity is modulated by sleep stages. Sleep-related breathing disorders also influence the autonomic nervous system and can cause heart rate changes known as cyclical variation. We investigated the effect of sleep stages and sleep apnea on autonomic activity by analyzing heart rate variability (HRV). Since spectral analysis is suited for the identification of cyclical variations and detrended fluctuation analysis can analyze the scaling behavior and detect long-range correlations, we compared the results of both complementary techniques in 14 healthy subjects, 33 patients with moderate, and 31 patients with severe sleep apnea. The spectral parameters VLF, LF, HF, and LF/HF confirmed increasing parasympathetic activity from wakefulness and REM over light sleep to deep sleep, which is reduced in patients with sleep apnea. Discriminance analysis was used on a person and sleep stage basis to determine the best method for the separation of sleep stages and sleep apnea severity. Using spectral parameters 69.7% of the apnea severity assignments and 54.6% of the sleep stage assignments were correct, while using scaling analysis these numbers increased to 74.4% and 85.0%, respectively. We conclude that changes in HRV are better quantified by scaling analysis than by spectral analysis.