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The number 404 is one of the status codes in the Hyper Text Transfer Protocol, or HTTP, which is the communication protocol used to transfer pages on the web. The definition of the 404 error code in the HTTP Status Code specification is the following:

The server has not found anything matching the Request-URI. No indication is given of whether the condition is temporary or permanent. […] This status code is commonly used when the server does not wish to reveal exactly why the request has been refused, or when no other response is applicable.

In WordPress, the contents and styling of the 404 page is defined by the active theme. The 404 page commonly includes a short explanation of why the error page is displayed, a link back to the home page, and/or a search field. You can view the WP Glossary 404 page here.