 X(n) (i.e. the position 
after N steps) is N times the sample mean. 
Thus the variance of "the position" is var(Y)=var(X) N, i.e. it grows 
linearly with time t=N dt. 
This situation is changed if the autocorrelation function for the 
increments has a fat tail so that its integral diverges. 
If the tail decays with increasing time as t-a, with exponent 
a<1, var(Y) -> t2-a for large t and the power spectrum has the 
form fa-1 for small f. 
In the limit a -> 1 we recover the same asymptotic dependence as for 
independent increments and a flat white noise spectrum, and for a -> 0 
we approach a determinstic evolution  and an 1/f spectrum.
X(n) (i.e. the position 
after N steps) is N times the sample mean. 
Thus the variance of "the position" is var(Y)=var(X) N, i.e. it grows 
linearly with time t=N dt. 
This situation is changed if the autocorrelation function for the 
increments has a fat tail so that its integral diverges. 
If the tail decays with increasing time as t-a, with exponent 
a<1, var(Y) -> t2-a for large t and the power spectrum has the 
form fa-1 for small f. 
In the limit a -> 1 we recover the same asymptotic dependence as for 
independent increments and a flat white noise spectrum, and for a -> 0 
we approach a determinstic evolution  and an 1/f spectrum. 
All these considerations fail if the PDF for X(n) does not have finite 
variance, which is the case if the PDF has power-law tails p(X) -> 
X-(1+m), with  1< m< 2. 
In this case the sum Y(N) of independent increments  converges to a stable 
(Levy) distribution with infinite variance, but the typical value of |Y(N)| 
(or the range R(N)) goes asymptotically like N1/m.
Thus, if care is not taken to exclude the possibility of infinite variance 
of X(n), this behaviour of R(N) can be taken as indication of long-range 
dependence with a=2-2/m.  
The sample standard deviation S(N) converges to the standard deviation for 
X(n) when the latter exists. 
Otherwise S(N) -> N1/m-1/2. 
Thus, for independent increments the ratio R/S -> N1/2, i.e. the 
division by S removes the effect of fat tails on the asymptotic growth of 
the range, and a dependence R/S -> NH with Hurst exponent 
H > 1/2 should be due to long-range dependence.
 
If a turbulent field X is sampled at high frequency, the value of X(n) and 
X(n+1) will be very close, and hence highly correlated. 
Thus, on short time scales X(n) will not behave as independent increments, 
but perhaps rather as a sum of more or less independent increments, i.e. 
on this time scale {X(n)} behaves  more like a position process of a random 
walk than an increment  process. This suggests that we should look at the 
statistics  (PDF, autocorrelation, R/S) for the increments of the process 
{X(n)}, i.e. for the process {Z(n)}, where  Z(n)=X(n+1)-X(n). 
H > 1/2 for {Z(n)} indicates  dependence  among increments. 
In particular this is true if H is different on short and long time scales. 
If the Z(n) were independent  H should not depend on the time lag, and the 
result should be the same if the time series is shuffled.
We discuss models that can describe the turbulent field as the position process in a random walk with damping included to prevent the field from diffusing to infinity for large times. We also present analyses of time-series from a plasma experiment, which illustrate some of the complications that often appear in real world data, such as long-range dependence due to more or less coherent oscillations.