In a continuous probability distribution, the variable can take on any real number. It is not limited to a finite set of values, as it is in a discrete probability distribution; for example, the average weight of a healthy newborn baby can range from approximately 6–9 lbs (its weight can be 7.3 lbs, for example). A continuous probability distribution is characterized by a probability density function (PDF).

The sum of all the probabilities that the random variable can assume is 1. Thus, the area under the graph of the probability density function adds up to 1.