Sometimes, in films the sound for the next scene will begin while the current scene is still playing.  For example, in Episode 3 of Season 5 of Game of Thrones, Arya is washing a corpse for the first time with the Waif and the viewer hears a man shout "Open the gate!" and a second later the scene switches to Petyr Baelish and his entourage escorting Sansa Stark through the gates of Winterfell. So, basically the sound switches over before the scene does.  What is the name for this kind of transition effect?
I saw this several times in different movies, but I don't understand what is this supposed to mean. The main idea is when the scene is about to change, for one second or so we still see the picture from the old scene, but the sound is already coming from from the upcoming scene. Why do they do this? What's the purpose of this technique?
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