Probability Density Function

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Probability Density Function - short version

The chance that a continuous random variable is in any range of values can be calculated as the area under a curve over that range of values. The curve is the probability density function of the random variable. For example, the probability density function of a random variable with a standard normal distribution is the normal curve. Only continuous random variables have probability density functions.

Probability Density Function - long version

The probability density function is a function that describes the relative likelihood for this random variable to occur at a given point. The probability for the random variable to fall within a particular region is given by the integral of this variable's density over the region. The probability density function is nonnegative everywhere, and its integral over the entire space is equal to one.

The terms "probability distribution function" and "probability function" have also sometimes been used to denote the probability density function. However, this use is not standard among probabilists and statisticians. In other sources, "probability distribution function" may be used when the probability distribution is defined as a function over general sets of values, or it may refer to the cumulative distribution function, or it may be a probability mass function rather than the density. Further confusion of terminology exists because density function has also been used for what is here called the "probability mass function".


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