The purpose of this interface is to evaluate the probability density of a given set of data by either fitting the probability density function to the data or by evaluating the probability density function with supplied parameters. Both Eval methods return the probability density at each value of the given set of data. After the probability distribution is fitted to the data, the GetParameters method can be used to return the distribution parameters used to fit the probability density function to the data.

The DataMining package class NaiveBayesClassifier uses an implementation of IProbabilityDistribution to train continuous data.