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The probability density function of a random variable can be either chosen from a group of widely used probability density functions (e.g.: normal, uniform, exponential), based on theoretical arguments, or estimated from the data (if you are observing data generated by a specific density function).
More material on density functions can be found by following the links below.
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How do you convert a beta probability density function to a beta frequency distribution?
probability density distribution
What pdf stands for in statistics?
Probability Density Function
What is the difference between a probability mass function and a probability density function?
The probability mass function is used to characterize the distribution of discrete random variables, while the probability density function is used to characterize the distribution of absolutely continuous random variables. You might want to read more about this at www.statlect.com/prbdst1.htm (see the link below or on the right)
What is the probability density of the wave function?
See related link, In quantum mechanics, a probability amplitude is a complex number whose modulus squared represents a probability or probability density. For example, the values taken by a normalised wave function ψ are amplitudes, since |ψ(x)|2 gives the probability density at position x. Probability amplitudes may also correspond to probabilities of discrete outcomes.
What does even distribution mean?
It means that the probability density function is symmetric about 0.
