  In this paper we consider the problem of the limits concerning the physical
information that can be extracted from the analysis of one or more time series
(light curves) typical of astrophysical objects. On the basis of theoretical
considerations and numerical simulations, we show that with no a priori
physical model there are not so many possibilities to obtain interpretable
results. For this reason, the practice to develop more and more sophisticated
statistical methods of time series analysis is not very productive. Only
techniques of data analysis developed in a specific physical context can be
expected to provide useful results. The field of {\it stochastic dynamics}
appears to be an useful framework for such an approach. In particular, it is
shown that modelling the experimental time series by means of the stochastic
differential equations (SDE) represents a valuable tool of analysis. For
example, the use of SDE permits to make the analysis of a continuous signal
independent from the frequency sampling with which the experimental time series
have been obtained. In this respect, an efficient approach based on the
extended Kalman-filter technique is presented. Freely downloadable software is
made available.

Astrophysics