NOTE: A Conditional p.d.f. Is Not the Result Conditioning on a Set of Probability Zero. The conditionalp.d.f. g_1 (x│y) of X given Y = y is the p.d.f. we would use for Z if we were to learn that Y = y . This sounds as if we were conditioning on the event {Y=y},which has zero probability if Y has a continuous distribution. Actually, for the cases we shall see in this text, the value of g_1 (x│y) is a limit: