The conditioning event {y-ϵ≤Y≤y+ϵ} in Eq. (3.6.6) has positive probability if the marginal p.d.f. of Y is positive at y. the mathematics required to make this rigorous is beyond the scope of this text. (See Exercise 11 in this section and Exercises 25 and 26 in Section 3.10 for results that we can prove.) nevertheless, it is important to keep in mind that the conditional p.d.f. of X given Y=y is better thought of as the conditional p.d.f. of X given that Y is very close to y. this wording is awkward, so we shall not use it, but we must remember the distinction between the conditional p.d.f. and conditioning on an event with probability 0. Despite this distinction, it is still legitimate to treat Y as the constant y when dealing with the conditional distinction of X given Y=y.