In this paper a novel method for automatic detection and classification of sleep stages using a multichannel electroencephalography (EEG) is presented. Understanding the sleep mechanism is vital for diagnosis and treatment of sleep disorders. The EEG is one of the most important tools of studying and diagnosing sleep disorders. EEG signals waveforms activity interpretation is performed by visual analysis (a very difficult procedure). This research aim is to ease the difficulties involved in the existing manual process of EEG interpretation by proposing an automatic sleep stage detection and classification system. The suggested method based on Multichannel Auto Regressive (MAR) model. The multichannel analysis approach incorporates the cross correlation information existing between different EEG signals. In the training phase, we used the vector quantization (VQ) algorithm, Linde-Buzo-Gray (LBG) and sleep stage definition, by estimation of probability mass functions (pmf) per every sleep stage using Generalized Log Likelihood Ratio (GLLR) distortion. The classification phase was performed using Kullback-Leibler (KL) divergence. The results of this research are promising with classification accuracy rate of 93.2%. The results encourage continuation of this research in the sleep field and in other biomedical signals applications.