Heart rate variability (HRV) is one of the promising directions for a simple and noninvasive way for obstructive sleep apnea syndrome detection (OSA). The interaction between the sympathetic and parasympathetic systems on the HRV recordings, gives rise to several non-stationary components added to the signal. Aiming to improve the classifier accuracy for obstructive sleep apnoea detection, the use of more appropriated techniques for leading with non-stationarity and mixed dynamics, are needed. This work aims at searching a convenient training strategy of combining the feature set to be further fed in to the classifier, which should take into consideration the different dynamics in the HRV signal. Therefore, a set of the short-time features, extracted from a given HRV time-varying decomposition, and selected by spectral splitting is considered. Additionally, three methods of projection are used: none, simple, and multivariate. Finally, the different approaches are tested and compared, using k-nn and support vector machines (SVM) classifiers. Attained results show that using continuous wavelet transform with short-time features and multivariate projection, followed by a SVM classifier, allow to obtain a suitable OSA detection.