  Nonlinear time series analysis has been widely used to search for signatures
of low-dimensional chaos in light curves emanating from astrophysical bodies. A
particularly popular example is the microquasar GRS 1915+105, whose irregular
but systematic X-ray variability has been well studied using data acquired by
the Rossi X-ray Timing Explorer. With a view to building simpler models of
X-ray variability, attempts have been made to classify the light curves of GRS
1915+105 as chaotic or stochastic. Contrary to some of the earlier suggestions,
after careful analysis, we find no evidence for chaos or determinism in any of
the GRS 1915+105 classes. The dearth of long and stationary data sets
representing all the different variability classes of GRS 1915+105 makes it a
poor candidate for analysis using nonlinear time series techniques. We conclude
that either very exhaustive data analysis with sufficiently long and stationary
light curves should be performed, keeping all the pitfalls of nonlinear time
series analysis in mind, or alternative schemes of classifying the light curves
should be adopted. The generic limitations of the techniques that we point out
in the context of GRS 1915+105 affect all similar investigations of light
curves from other astrophysical sources.
