The two functions are also related mathematically — you can obtain the cumulative distribution function of a random variable by integrating its probability density function.

What Is a Probability Density Function (PDF)? The probability density function (PDF) is an analytical technique that outlines how likely different outcomes are across a range of possibilities.

The notion of probability density for a random function is not as straight-forward as in finite-dimensional cases. While a probability density function generally does not exist for functional data, we ...

The Distribution of the Maximum Deviation Between two Sample Cumulative Step Functions, The Annals of Mathematical Statistics, Vol. 22, No. 1 (Mar., 1951), pp. 125-128 ...