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We describe a simple automated method to extract and quantify transient heterogeneous dynamical changes from large data sets generated in single-molecule/particle tracking experiments. Based on wavelet transform, the method transforms raw data to locally match dynamics of interest. This is accomplished using statistically adaptive universal thresholding, whose advantage is to avoid a single arbitrary threshold that might conceal individual variability across populations. How to implement this multiscale method is described, focusing on local confined diffusion separated by transient transport periods or hopping events, with three specific examples: in cell biology, biotechnology, and glassy colloid dynamics. The discussion is generalized within the framework of continuous time random walk. This computationally efficient method can run routinely on hundreds of millions of data points analyzed within an hour on a desktop personal computer.

Diagnosing Heterogeneous Dynamics in Single-Molecule/Particle Trajectories with Multiscale Wavelets