Modern theory of probability is formulated on the footing of measure theory. Use this tag if your question is about this theoretical footing (for example probability spaces, random variables, law of large numbers, central limit theorems, and the like). Use (probability) for explicit computation of ...
How does one prove probability integral transform? So when $Y = F_X(X)$ where $X$ has a continuous distribution for which the cumulative distribution function is $F_X$, why does $Y$ have a uniform ...