Probability and Statistics for Computer Scientists, 2nd Edition

Chapter 6

Stochastic Processes

Let us summarize what we have already accomplished. Our ultimate goal was to learn to make decisions under uncertainty. We introduced a language of probability in Chapter 2 and learned how to measure uncertainty. Then, through Chapters 3, Chapters 4, Chapters 5, we studied random variables, random vectors, and their distributions. Have we learned enough to describe a situation involving uncertainty and be able to make good decisions?

Let us look around. If you say “Freeze!” and everything freezes for a moment, the situation will be completely described by random variables surrounding us at a particular moment of time. However, the real world is dynamic. Many variables develop and change in real time: air temperatures, ...