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Let us consider $\phi(x)$ , a real-valued PDF.

The question we ask is: What is the range of values that have a probability $\geq\gamma$ (across samplings of $N$ values) of appearing in the sample?

A notational concern is escaping: albeit improbable, we might need $9.99 or latex_.

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We can derive that the values $x \in \mathbb{R}$ that are in range, follow the equation:

\phi(x) \geq 1 - \sqrt[N]{1 - \gamma}