Diagnosis of depression is still based mainly on evaluation of the intensity of subjective and clinical symptoms by psychiatrists. This study is aimed to give additional objective information about depression analyzing the electroencephalographic (EEG) signal using the method of detrended fluctuation analysis (DFA). DFA is applied to evaluate the presence and persistence of long range correlations in time in EEG signals. EEG recordings were carried out on the groups of depressive and healthy subjects of 18 female volunteers each. The DFA was calculated on EEG signals from P3-Pz channel at a length of 5 minutes. The DFA method revealed statistically significant difference between healthy and depressive subjects. Resting EEG of healthy subjects exhibited persistent long-range correlation in time. In depression the long-range correlation was less persistent and for about half of the depressed subjects (44%) the EEG revealed long-range anti-correlation in time.