We propose here an approach for the analysis of single-molecule trajectories which is based on a comprehensive comparison of an experimental data set with multiple Monte Carlo simulations of the diffusion process. It allows quantitative data analysis, particularly whenever analytical treatment of a model is infeasible. Simulations are performed on a discrete parameter space and compared with the experimental results by a nonparametric statistical test. The method provides a matrix of p-values that assess the probability for having observed the experimental data at each setting of the model parameters. We show the testing approach for three typical situations observed in the cellular plasma membrane: i), free Brownian motion of the tracer, ii), hop diffusion of the tracer in a periodic meshwork of squares, and iii), transient binding of the tracer to slowly diffusing structures. By plotting the p-value as a function of the model parameters, one can easily identify the most consistent parameter settings but also recover mutual dependencies and ambiguities which are difficult to determine by standard fitting routines. Finally, we used the test to reanalyze previous data obtained on the diffusion of the glycosylphosphatidylinositol-protein CD59 in the plasma membrane of the human T24 cell line.