Healthy sleep can be characterized by several stages: deep sleep, light sleep, and REM sleep. Here we show that these sleep stages lead to different autonomic regulation of breathing. Using the detrended fluctuation analysis up to the fourth order we find that breath-to-breath intervals and breath volumes separated by several breaths are long-range correlated during the REM stages and during wake states. In contrast, in the non-REM stages (deep sleep and light sleep), long-range correlations are absent. This behaviour is very similar to the correlation behaviour of the heart rate during the night and may be related to the phase synchronization between heartbeat and breathing found recently. We speculate that the differences are caused by different cortically influenced control of the autonomic nervous system. (C) 2002 Elsevier Science B.V. All rights reserved.