In many practical applications, it turns out to be useful to use the notion of fuzzy transform: once we have functions A1(x) ≥ 0, . . . , An ≥ 0, with n∑ i=1 Ai(x) = 1, we can then represent each function f(x) by the coefficients Fi = ∫ f(x) · Ai(x) dx ∫ Ai(x) dx . Once we know the coefficients Fi, we can (approximately) reconstruct the original function f(x) as n∑ i=1 Fi · Ai(x). The original motivation for this transformation came from fuzzy modeling, but the transformation itself is a purely mathematical transformation. Thus, the empirical successes of this transformation suggest that this transformation can be also interpreted in more traditional (non-fuzzy) mathematics as well. Such an interpretation is presented in this paper. Specifically, we show that the 2002 probabilistic interpretation of fuzzy modeling by S´anchez et al. can be modified into a natural probabilistic explanation of fuzzy transform formulas.