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This is a preliminary attempt to directly investigate the interactions of sleep EEG and ECG signals during normal, OSA breathing event and events following its termination with or without arousal in non-REM(NREM) and REM sleep stages. ECG and EEG signals were collected from 10 patients with OSA and 5 healthy subjects. Coherence between two signals (CoherenceECG-EEG) over different frequency bands(range:0~40 Hz) were calculated for normal breathing events, OSA events and events following OSA terminations (with/without arousals) in NREM as well as REM sleep. In normal breathing events, overall CoherenceECG-EEG in REM sleep is higher than that in NREM sleep. Significant (p<0.01) differences of CoherenceECG-EEG between OSA events with and without arousals were found in NREM sleep over 0.5-25 Hz bands but in REM sleep over 3.0-12 Hz. This research could be useful in understanding cardiac dysfunction in sleep apnoea patient.