An Uncountable set is a set that has no existence of bijection with $Z$.
Is it the same as a continuous set?
Suppose $[0,1]$ is both uncountable and continuous.
If both are different, please provide an example to clarify it.
Background: I got this doubt because of the following statement from Introduction To Probability by Dimitri P. Bertsekas
Probabilistic models with continuous sample spaces differ from their discrete counterparts in that the probabilities of the single-element events may not be sufficient to characterize the probability law
No, those are two different concept:
countable comes from set basic theory; the main property, one might argue, of a set, is that it has cardinality: it has a number of elements. This number can be 0 (if the set is empty), infinite or any number in between. The way we compare the size of two sets is by trying to construct isomorphisms (bijections) between them. As it turns out, it is possible to prove that there is no bijection between $\mathbb{N}$ and $\mathbb{R}$, for example which is why we distinguish between countable and uncountable
continuous (or in the case of sets: connected) comes from topology, which is set theory plus something more, loosely speaking. The idea is that given a set, $A$, we also have a collection of subsets of $A$, which fulfills certain conditions; we call this set of subsets the topology of $A$, often denoted $\tau_A$. Armed with a topology, we can now define the concepts continuous (for functions) and connected (for sets). It is possible (and sometimes even useful) to define topologies for discrete sets.
There are some quite good articles on wikipedia about set theory and topology, if you want to dig a bit deeper. For set theory, I always recommend P.R. Halmos' Naive Set Theory, which I think is an excellently written book.