See Thireau et al (Exp Physiol. 2008 Jan;93(1):83-94) for a primer on heart rate variability in mice. This is a great paper, which is equally applicable to rats. Also see George Billman's open access papers on HRV (Frontiers in Physiology (http://www.frontiersin.org/Physiology - Front Physiol. 2011 29;2:86; Front Physiol. 2013 26;4:222) or an application of HRV in sensitized mice by our lab (Front Physiol. 2012 4;3:456). Linking to EEG represents another hurdle and if one does this chronically it will require some discussion with telemetry providers such as DSI or others or in house solutions.
It depends very much from what information you want to gather. If it is heart brain connection there is a great review by Oliver Stiedl
http://www.ncbi.nlm.nih.gov/pubmed/18824021
Telemetric ECG data might be very challenging especially because the ECG shape is continuously changing and therefore r peaks difficult to recognized unless done manually. This would greatly impact hrv results especially in the frequency domain.
http://www.ncbi.nlm.nih.gov/pubmed/17646680
The EEG for higher cognitive function would be more informative.