Ultimately, we want to know the probability distribution for X.

One way to do that is to record the temperature from time to time and
then plot the histogram.
However, when you plot the histogram, it's up to you to choose the bin
size.
But if we make the bin size _ner and _ner (meanwhile we need more and
more data), the histogram will become a smooth curve which will
represent the probability distribution for X.

De_nition
Let X be a continuous rv. Then a probability distribution or probability
density function (pdf) of X is a function f (x) such that for any two
numbers a and b with a _ b,
P(a _ X _ b) =
Zb
a
f (x)dx
That is, the probability that X takes on a value in the interval [a; b] is the
area above this interval and under the graph of the density function. The
graph of f (x) is often referred to as the density curve.

Remark:
For f (x) to be a legitimate pdf, it must satisfy the following two
conditions:
1. f (x) _ 0 for all x;
2.
R1
􀀀1 f (x)dx = area under the entire graph of f (x) = 1.
In probability theory, a probability density function (PDF), or density of a continuous random
variable, is a function, whose value at any given sample (or point) in the sample space (the set of
possible values taken by the random variable) can be interpreted as providing a relative
likelihood that the value of the random variable would equal that sample. In other words, while
the absolute likelihood for a continuous random variable to take on any particular value is 0
(since there are an infinite set of possible values to begin with), the value of the PDF at two
different samples can be used to infer that, in any particular draw of the random variable, how
much more likely it is that the random variable would equal one sample compared to the other
sample.

In a more precise sense, the PDF is used to specify the probability of the random variable falling
within a particular range of values, as opposed to taking on any one value. This probability is
given by the integral of this variable’s PDF over that range—that is, it is given by the area under
the density function but above the horizontal axis and between the lowest and greatest values of
the range. The probability density function is nonnegative everywhere, and its integral over the
entire space is equal to one.

Unlike a probability, a probability density function can take on values greater than one; for
example, the uniform distribution on the interval [0, ½] has probability density f(x) = 2 for
0 ≤ x ≤ ½ and f(x) = 0 elsewhere.

The standard normal distribution has probability density

It is common for probability density functions (and probability mass functions) to be
parametrized—that is, to be characterized by unspecified parameters. For example, the normal
distribution is parametrized in terms of the mean and the variance, denoted by σ2 and μ
respectively, giving the family of densities

It is important to keep in mind the difference between the domain of a family of densities and the
parameters of the family. Different values of the parameters describe different distributions of
different random variables on the same sample space (the same set of all possible values of the
variable); this sample space is the domain of the family of random variables that this family of
distributions describes. A given set of parameters describes a single distribution within the
family sharing the functional form of the density. From the perspective of a given distribution,
the parameters are constants, and terms in a density function that contain only parameters, but
not variables, are part of the normalization factor of a distribution (the multiplicative factor that
ensures that the area under the density—the probability of something in the domain occurring—
equals 1). This normalization factor is outside the kernel of the distribution.

Since the parameters are constants, reparametrizing a density in terms of different parameters, to
give a characterization of a different random variable in the family, means simply substituting
the new parameter values into the formula in place of the old ones. Changing the domain of a
probability density, however, is trickier and requires more work: see the section below on change
of variables.
Related Distributions
Probability distributions are typically defined in terms of the
probability density function. However, there are a number of
probability functions used in applications.
Probability For a continuous function, the probability density function (pdf) is
Density the probability that the variate has the value x. Since for
Function continuous distributions the probability at a single point is zero,
this is often expressed in terms of an integral between two points.

∫ b a f(x)dx=Pr[a≤X≤b]

For a discrete distribution, the pdf is the probability that the variate
takes the value x.

f(x)=Pr[X=x]

The following is the plot of the normal probability density

function.

Cumulative The cumulative distribution function (cdf) is the probability that

Distribution the variable takes a value less than or equal to x. That is
Function
F(x)=Pr[X≤x]=α

For a continuous distribution, this can be expressed mathematically

as

F(x)=∫ x −∞ f(μ)dμ

For a discrete distribution, the cdf can be expressed as

F(x)=∑ x i=0 f(i)

The following is the plot of the normal cumulative distribution

function.

The horizontal axis is the allowable domain for the given

probability function. Since the vertical axis is a probability, it must
fall between zero and one. It increases from zero to one as we go
from left to right on the horizontal axis.