  Consider a stationary real-valued time series $\{X_n\}_{n=0}^{\infty}$ with a
priori unknown distribution. The goal is to estimate the conditional
expectation $E(X_{n+1}|X_0,..., X_n)$ based on the observations $(X_0,...,
X_n)$ in a pointwise consistent way. It is well known that this is not possible
at all values of $n$. We will estimate it along stopping times.
