Whether single-molecule trajectories, observed experimentally or in molecular simulations, can be described using simple models such as biased diffusion is a subject of considerable debate. Memory effects and anomalous diffusion have been reported in a number of studies, but directly inferring such effects from trajectories, especially given limited temporal and/or spatial resolution, has been a challenge. Recently, we proposed that this can be achieved with information-theoretical analysis of trajectories, which is based on the general observation that non-Markov effects make trajectories more predictable and, thus, more ``compressible'' by lossless compression algorithms. Toy models where discrete molecular states evolve in time were shown to be amenable to such analysis, but its application to continuous trajectories presents a challenge: the trajectories need to be digitized first, and digitization itself introduces non-Markov effects that depend on the specifics of how trajectories are sampled. Here we develop a milestoning-based method for information-theoretical analysis of continuous trajectories and show its utility in application to Markov and non-Markov models and to trajectories obtained from molecular simulations.

Foreign