Several recent experiments, including our own experiments in the fission yeast, Schizosaccharomyces pombe, have characterized the motions of gene loci within living nuclei by measuring the locus position over time, then proceeding to obtain the statistical properties of this motion. To address the question of whether a population of such single-particle tracks, obtained from many different cells, corresponds to a single mode of diffusion, we derive theoretical equations describing the probability distribution of the displacement covariance, assuming the displacement itself is a zero-mean multivariate Gaussian random variable. We also determine the corresponding theoretical means, variances, and third central moments. Bolstering the theory is good agreement between its predictions and the results obtained for various simulated and measured data sets, including simulated particle trajectories undergoing simple and anomalous diffusion, and the measured trajectories of an optically trapped bead in water, and in a viscoelastic polymer solution. We also show that, for sufficiently long tracks, each covariance distribution in all of these examples is well-described by a skew-normal distribution with mean, variance, and skewness given by the theory. However, for the experimentally measured motion of a gene locus in S. pombe, we find that the first two covariance distributions are wider than predicted, although the third and subsequent covariance distributions are well-described by theory. This observation suggests that the origin of the theory-experiment discrepancy in this case is associated with localization noise, which influences only the first two covariances. Thus, we hypothesized that the discrepancy is caused by locus-to-locus heterogeneity in the localization noise, of independent measurements of the same tagged site. Indeed, simulations implementing heterogeneous localization noise revealed that the excess covariance widths can be largely recreated on the basis of heterogeneous noise. Thus, we conclude that the motion of gene loci in fission yeast is consistent with a single mode of diffusion.