How to approach rigorous probability theory from an economics background? I am attempting to read around the theory of probability theory from the ground up, coming from a background of economics I have little experience in set/measure theory, whilst I am not new to statistics and econometrics the rigorous treatment of the topics have been difficult to follow. For reference, I have been using 'Probability, Statistics, and Econometrics - Oliver Linton' to read on the subject. What would be the best way to approach this?
I ask this question as this has been recommended in preparation for my MSc in Economics by a lecturer.
If you want a good book with emphasis on rigorous then An Introduction to Probability: Theory and Application, by William Feller is good source.
The book starts completely from the first principles and covers also a lot of applications in statistics. Arguably the book is more suited to graduate as it has a steep curve - the content difficulty increases rapidly, but I think that it can be suitable even at Msc level - especially if you are doing more research oriented Msc.
If you are would be interested in something more focused on econometrics then a primer in econometric theory by John Stachurski is good source although it does not cover probability so broadly as the above source.