I am new to probability course and find concepts very confusing. I am learning maximum likelihood estimation and as a starting point for that do we find the density or the distribution?
In general, do we find the distribution from density or is it vice versa and how does one find it? For example, for Gaussian distribution do we find the density of a variable or the distribution so as to estimate unknown parameter A in the case x[n] = A + w[n] where w[n] are uncorrelated gaussian noise. This may sound too trivial but I am really confused. In many contexts I have come across where pdf = prob. density function and in some areas I find pdf = prob distribution function !!