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Let \\(I=\\bigcup_{\\nu=0}^{s-1}I_\\nu\\) be a partition of \\(I\\), \\(s\\geq 2\\). Then we can define the sequence of random variables \\((Y_n)_{n\\in {\\mathbb{Z}}}\\) by setting \\(Y_n=\\nu\\) when \\(X_n\\in I_{\\nu}\\). The sequence \\((Y_n)_{n\\in\\mathbb{Z}}\\) is stationary, but in general is not a Markov chain. The paper is devoted to the computation of the transition probabilities:  \\[  \\mathbf{P}(Y_n=\\nu\\mid Y_{n-l}=\\nu_{n-l},\\dots,Y_{n-1}=\\nu_{n-1})\\tag{1} \\]  (transition probabilities given a finite past) and  \\[  \\mathbf{P}(Y_n=\\nu\\mid Y_m=\\nu_m \\text{ for all } m\\leq n-1)\\tag{2} \\]  (transition probabilities given an infinite past). The author shows that the limit of (1) exists and is equal to (2). Then he introduces the \\([0,1]\\)-valued process \\(U_n=\\sum_{m=1}^\\infty s^{-m}Y_{n-m}\\) called the moving average process. He gives explicit formulas for (1) and (2) in terms of the distribution probabilities of \\(U_n\\). More precisely, he proves that  \\[  \\mathbf{P}(Y_n=\\nu\\mid Y_{n-m}=\\nu_m \\quad\\text{for}\\quad m=1,\\dotsc,l)= \\frac{\\sum_{i\\in I_\\nu}\\pi_i(F_i(b_l)-F_i(a_l))}{F(b_l)-F(a_l)}  \\]  where \\(a_l=\\sum_{m=1}^l s^{-m}\\nu_m\\), \\(b_l=\\sum_{m=1}^l s^{-m}\\nu_m+s^{-l}\\), \\(\\pi=(\\pi_i)_{i\\in I}\\) is the stationary distribution of \\(X_n\\), \\(F\\) is the distribution function of \\(U_n\\) and \\(F_i(x)=\\mathbf{P}(U_n\\leq x\\mid X_n=i)\\), for \\(x\\in\\mathbb{R}\\). 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