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The problem with using intervals, however, is that their widths and edges are arbitrary, and wide intervals are not very precise. Therefore, what we will do is make the intervals infinitesimally narrow, and instead of talking about the infinitesimal probability mass of each infinitesimal interval, we will talk about the ratio of the probability mass to the interval width. That ratio is called the probability density.
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shihabdider - (no access) - Doing Bayesian Data Analysis, p82
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