I am familiar with the concept, but I simply can’t get my head over the intuition behind it. While being a derivative, it describes the rate of change for one unit. Simply put, we can say that it shows the “concentration” , therefore (where it dramatically rises and then drops) we can say that it’s more “sensible” to change. Am I right? I know that it can exceeds 1, therefore it’s not a probability.

I have read every ticket created here, but just want to make it clear besides any mathematical notations.

  • $\begingroup$ Hello. Why have you marked it as duplicate? $\endgroup$ – Maria Lavrovskaya Jun 24 '19 at 15:01
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    $\begingroup$ Because it is: the duplicate explains the intuition behind probability densities. Another answer is provided at stats.stackexchange.com/questions/326185, because the density really is the Radon-Nikodym derivative. If neither of those threads satisfies you, then please modify your question to indicate more explicitly what the issue is and what kind of answer you seek. $\endgroup$ – whuber Jun 24 '19 at 15:02