A random variable X with values in a measurable space ( X , A ) (usually R n with the Borel sets as measurable subsets) has as probability distribution the measure X ∗ P on ( X , A ) : the density of X with respect to a reference measure μ μ on ( X , A ) is the Radon–Nikodym derivative : f = d X ∗ ∗ P d μ μ .