Mission-critical applications require Ultra-Reliable Low Latency (URLLC) wireless connections, where the packet error rate (PER) goes down to $10^{-9}$. Fulfillment of the bold reliability figures becomes meaningful only if it can be related to a statistical model in which the URLLC system operates. However, this model is generally not known and needs to be learned by sampling the wireless environment. In this paper we treat this fundamental problem in the simplest possible communication-theoretic setting: selecting a transmission rate over a dynamic wireless channel in order to guarantee high transmission reliability. We introduce a novel statistical framework for design and assessment of URLLC systems, consisting of three key components: (i) channel model selection; (ii) learning the model using training; (3) selecting the transmission rate to satisfy the required reliability. As it is insufficient to specify the URLLC requirements only through PER, two types of statistical constraints are introduced, Averaged Reliability (AR) and Probably Correct Reliability (PCR). The analysis and the evaluations show that adequate model selection and learning are indispensable for designing consistent physical layer that asymptotically behaves as if the channel was known perfectly, while maintaining the reliability requirements in URLLC systems.