Here’s another Quora answer I’m reposting here. This is the question, followed by my answer.
What does the value of a point on the normal distribution actually represent, if anything?
It’s important to note the difference between discrete and continuous random variables as we answer this question. Though naming conventions vary, I think most mathematicians would agree that a discrete random variable has a Probability Mass Function (PMF) and a continuous random variable has a Probability Density Function (PDF).
The words mass and density go a long way in helping to capture the difference between discrete and continuous random variables. For a discrete random variable, the PMF evaluated at a certain gives the probability of . For a continuous random variable, the PDF at a certain does not give the probability at all, it gives the density. (As advertised!)
So what is the probability that a continuous random variable takes on a certain value? For example, assume a certain type of fish has length that is normally distributed with mean 22 cm and standard deviation 1.6 cm. What is the probability of selecting a fish exactly 26 cm long? That is, what is ?
The answer, for any continuous random variable, is zero. More formally, if is a continuous random variable with support , then for all .
For the fish problem, this actually does make sense. Think about it. You pull a fish out of the water which you claim is 26 cm long. But is it really 26 cm long? Exactly 26 cm long? Like 26.00000… cm long? With what precision did you make that measurement? This should explain why the probability is zero.
If instead you want to ask about the probability of getting a fish between 25.995 and 26.005 cm long, that’s perfectly fine, and you’ll get a positive answer for the probability (it’s a small answer :-).
Let’s return to the words mass and density for a second. Think about what those words mean in a physics context. Imagine having a point mass–this is in an ideal case–then the mass of that point is defined by a discrete function. In reality, though, we have density functions that assign a density to each point in an object.
Think about a 1-dimmensional rod with density function . What is the mass of this rod at ? Of course, the answer is zero! This should make intuitive sense. Of course, we can get meaningful answers to questions like: What is the mass of the rod between and ? The answer is .
Does the physical understanding of mass vs density clear things up for you?