Despite the high accuracy of photometric redshifts (zphot) derived using machine learning (ML) methods, the quantification of errors through reliable and accurate probability density functions (PDFs) is still an open problem. First, because it is difficult to accurately assess the contribution from different sources of errors, namely internal to the method itself and from the photometric features defining the available parameter space. Secondly, because the problem of defining a robust statistical method, always able to quantify and qualify the PDF estimation validity, is still an open issue. We present a comparison among PDFs obtained using three different methods on the same data set: two ML techniques, METAPHOR (Machine-learning Estimati...