Intermittent estimation for finite alphabet finitarily Markovian processes with exponential tails

summary:We give some estimation schemes for the conditional distribution and conditional expectation of the the next output following the observation of the first $n$ outputs of a stationary process where the random variables may take finitely many possible values. Our schemes are universal in the class of finitarily Markovian processes that have an exponential rate for the tail of the look back time distribution. In addition explicit rates are given. A necessary restriction is that the scheme proposes an estimate only at certain stopping times, but these have density one so that one rarely fails to give an estimate