Adams M., Guillemin V. Measure Theory and Probability

Birkhauser, 1996. — 218 p. — ISBN: 0-8176-3884-9."…the text is user friendly to the topics it considers and should be very accessible…Instructors and students of statistical measure theoretic courses will appreciate the numerous informative exercises; helpful hints or solution outlines are given with many of the problems. All in all, the text should make a useful reference for professionals and students."―The Journal of the American Statistical Association