I have the next set of measures $\{P_{\theta},\theta\in \Theta\}$ for a parameter space $\Theta$. I found the next statement in a book:
$$\boxed{\text{We assume that the measures }P_{\theta}\;\text{are all dominated by some }\sigma\text{-finite } \text{measure }Q,\;\text{so that the density function }f_{X}(\cdot;\theta)\;\text{under }P_{\theta}\;\text{of }X\;\text{with respect to }Q\;\text{exists. Formally, }f_{X}(\cdot;\theta)\;\text{is the Radon-Nikodym derivate of }P_{\theta}\;\text{with respect to }Q.}$$
I have never been in a Measure Theory class, so for me most of the concepts are new. I have try to study myself but I end up with the same questions.
Is there a way to understand the statement without going to the details? I just want to move on to study statistical inference.
Will I have some problems understanding some concepts of statistics if I don't understand the concepts related to the statement presentend?