The sleep phenomenon is a complex process that involves fluctuations of autonomic functions such as the blood pressure, temperature and brain function. These fluctuations change their properties through the different sleep stages with specific relations among the different systems. In order to understand the relation between the cardiovascular and central nervous system at the different sleep stages, we applied different non-linear methods to the energy of electroencephalographic signal (EEG) and the heart rate fluctuations. The EEG was divided in the Delta, Theta, Alpha and Beta frequency bands and the mean energy of these bands was computed at each heart rate interval. Thus, the non-linear relation was evaluated between the energy of the EEG bands and the heart rate fluctuations using Cross-Correlation, Cross-Sample Entropy and Recurrence Quantification Analysis in segments of 5 minutes grouped by sleep stage. The results showed that a relation exists between the changes of the energy in the Delta band and the Heart rate fluctuations.