Probability is a function of a set. Therefore, before we can discuss probability, we need to introduce the mathematical concept of a set. Fundamentally, a set is a collection of things or objects. This video introduces the mathematical notation we use the describe sets as well as a number of sets that are commonly used including 1) the natural numbers, 2) the integers, 3) the real numbers, and 4) the positive real numbers. These particular sets will be useful when we start discussing random variables and their support.