Overnight sleep EEG recorded from 21 derivations was studied for 7 subjects (4 normal and 3 depressive). The multichannel autoregressive model was fitted to all 21 channels simultaneously. Ordinary, multiple and partial coherencies and directed transfer function were estimated for sleep stages and wakefulness. Ordinary coherencies give rather trivial information that coherence decreases with the distance. Partial coherencies revealed specific structure to a large degree repeatable for studied subjects. Study of directed transfer function made possible the identification of main centres from which EEG activity is spreading during sleep. An EEG analysis, based on treating signals as a realization of one process and on simultaneous (not pair-wise) evaluation of time series, offers new possibilities in the investigation of synchronization and functional relations in brains.