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What is the difference between mass and measure (in the context of probability theory)? Are they used interchangeably? I couldn't find anything about this and I do not know where to look for it.

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    $\begingroup$ There's no real difference, although 'mass' tends to be used more for discrete measures (e.g., a point mass). $\endgroup$ – anomaly Mar 18 '15 at 14:56
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According to wikipedia:http://en.wikipedia.org/wiki/Probability_mass_function the probability mass is the number you associate to a discrete set such as a number. Example: the probability mass of a coin coming up heads is 0.5

A measure on the other hand is more general and can be used to describe both the probability mass of a discrete set and the probability density of an interval (or more complicated sets, depending on where the measure is defined.) Example: The measure of the set $\{heads\}$ is 0.5.

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