In the next couple of chapters we are going to study random processes indexed by time. We have looked at some of these already – for example, a sequence of trials can be thought of as a random process indexed by time.
Naturally, we are going to be interested in what we can predict about a process in the future, given that we know its present value. Techniques involving conditioning are going to be useful. We know some of these techniques already. In this chapter we will develop them further.