Modeling of nonlinear Levy processes by data analysis - art. no. 041107

The paper presents a method to analyze time series of nonlinear Levy proces ses. The Levy stability index as well as the nonlinear deterministic and st ochastic parts of the dynamics together with their uncertainties can be cal culated numerically. As last step of the analysis the membership of the inv estigated system to the regarded class of dynamical systems is validated. F or demonstration the algorithm is applied to artificially created time seri es with different Levy indices.