A quick question with regards to cumulative distribution function.
To find the probability density function of $X$ do you:
(1) $Pr(x\ <\ X\ <\ x+h)\ =\ F_x(x+h)\ -\ F_x(x)\ =\ h\frac{dF_x(x)}{dx}$
or
(2) $Pr(a\ \leq\ X\ \leq\ b)\ =\ \int_{a}^{b}f(x)dx$
Im getting confused as many sites say option 2, but I've been given the option 1.
Or are they just the same thing and im missing the connection?