The level of sedation in patients undergoing medical procedures is decided to assure unconsciousness and prevent pain. The monitors of depth of anesthesia, based on the analysis of the electroencephalogram (EEG), have been progressively introduced into the daily practice to provide additional information about the state of the patient. However, the quantification of analgesia still remains an open problem. The purpose of this work was to analyze the capability of prediction of nociceptive responses based on refined multiscale entropy (RMSE) and auto mutual information function (AMIF) applied to EEG signals recorded in 378 patients scheduled to undergo ultrasonographic endoscopy under sedation-analgesia. Two observed categorical responses after the application of painful stimulation were analyzed: the evaluation of the Ramsay Sedation Scale (RSS) after nail bed compression and the presence of gag reflex (GAG) during endoscopy tube insertion. In addition, bispectrum (BIS), heart rate (HR), predicted concentrations of propofol (CeProp) and remifentanil (CeRemi) were annotated with a resolution of 1 s. Results showed that functions based on RMSE, AMIF, HR and CeRemi permitted predicting different stimulation responses during sedation better than BIS.