Even in college, changing variables (as was often done in advanced calculus) confused the heck out of me. Now I'm taking this Probability Theory class for my master's degree, and I'm having a hard enough time understanding how if X is distributed somehow and Y is some function of X, then the density function of Y is such-and-such; I have no idea what I'm doing when U is distributed somehow and X is some function of U! I could try to just memorize formulas but I'd rather understand what I'm doing, and it's clear I don't understand.
I think I'm done for tonight, my brain is fried. I'm gonna go watch football.