I have been self studying on machine learning for several months. I find a lot of formulae involve probability theory, calculus and linear algebra. This is a little hard for me, like this one:

p(\vec{y})=p(\vec{x})|J|

Where J is the jacobian matrix,

J_{ij}=\frac{\partial x_{i}}{\partial y_{i}}


I don't known where to find the proof.

thanks in advance.