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A Few Words About Probability Density
When you say density and probability density, that is exactly mean. There's still a lot of words in here because I never took stats in school. So like when we think about randomness, right? It might not be perfect word for most people to understand this. If you have a peak in our probability density function, that is going to indicate that we have a lot of data points under that peak. What this technique allows you to do is to create a totally smooth and continuous probability density function.