  The conditional Aalen--Johansen estimator, a general-purpose non-parametric
estimator of conditional state occupation probabilities, is introduced. The
estimator is applicable for any finite-state jump process and supports
conditioning on external as well as internal covariate information. The
conditioning feature permits for a much more detailed analysis of the
distributional characteristics of the process. The estimator reduces to the
conditional Kaplan--Meier estimator in the special case of a survival model and
also englobes other, more recent, landmark estimators when covariates are
discrete. Strong uniform consistency and asymptotic normality are established
under lax moment conditions on the multivariate counting process, allowing in
particular for an unbounded number of transitions.
