Biophysicists use single particle tracking (SPT) methods to probe the dynamic behavior of individual proteins and lipids in cell membranes. The mean squared displacement (MSD) has proven to be a powerful tool for analyzing the data and drawing conclusions about membrane organization, including features like lipid rafts, protein islands, and confinement zones defined by cytoskeletal barriers. Here, we implement time series analysis as a new analytic tool to analyze further the motion of membrane proteins. The experimental data track the motion of 40 nm gold particles bound to Class I major histocompatibility complex (MHCI) molecules on the membranes of mouse hepatoma cells. Our first novel result is that the tracks are significantly autocorrelated. Because of this, we developed linear autoregressive models to elucidate the autocorrelations. Estimates of the signal to noise ratio for the models show that the autocorrelated part of the motion is significant. Next, we fit the probability distributions of jump sizes with four different models. The first model is a general Weibull distribution that shows that the motion is characterized by an excess of short jumps as compared to a normal random walk. We also fit the data with a chi distribution which provides a natural estimate of the dimension d of the space in which a random walk is occurring. For the biological data, the estimates satisfy 1