Parton distribution functions (PDFs) describe the structure of hadrons as composed of quarks and gluons. They are needed to make predictions for short-distance processes in high-energy collisions and are determined by fitting to cross section data. We review definitions of the PDFs and their relations to high-energy cross sections. We focus on the PDFs in protons, but also discuss PDFs in nuclei. We review in some detail the standard statistical treatment needed to fit the PDFs to data using the Hessian method. We discuss tests that can be used to critically examine whether the assumptions are indeed valid. We also present some ideas of what one can do in the case that the tests indicate that the assumptions fail.