Using discrete wavelets, a novel technique is developed to estimate turbulent diffusion coefficients and power exponents from single Lagrangian particle trajectories. The technique differs from the classical approach (Davis (1991)’s technique) because averaging over a statistical ensemble of the mean square displacement (<X2>) is replaced by averaging along a single Lagrangian trajectory X(t) = {X(t), Y(t)}. Metzler et al. (2014) have demonstrated that for an ergodic (for example, normal diffusion) flow, the mean square displacement is <X2 > = , where (T,s) = 1/(T − s) − X(t))2 dt, T and s are observational and lag times but for weak non-ergodic (such as super-diffusion and sub-diffusion) flows <X2> = , where is some additional averaging. Numerical calculations for surface drifters in the Black Sea and isobaric RAFOS floats deployed at mid depths in the California Current system demonstrated that the reconstructed diffusion coefficients were smaller than those calculated by Davis (1991)’s technique. This difference is caused by the choice of the Lagrangian mean. The technique proposed here is applied to the analysis of Lagrangian motions in the Black Sea (horizontal diffusion coefficients varied from 105 to 106 cm2/s) and for the sub-diffusion of two RAFOS floats in the California Current system where power exponents varied from 0.65 to 0.72. RAFOS float motions were found to be strongly non-ergodic and non-Gaussian.