What is it?

We can interpret the function whose value at any given sample in the sample space as providing a relative likelihood that the value of the random variable would be close to that sample. Too simplify, it is very similar to the PMF but uses continious random variable instead of discrete.

distribution picture

Explanation:

With this probability, we have to work with a graph. Probability, in this case, is the area under the curve; hence, we can't calculate the probability of a single point because the area under it equals 0.

Example: