That is a software modification.
Correct. The Note 5 has the same sized screen and resolution as the Note 4, leading to the same
pixel density. But the big difference — as noted in my review and excerpted here — is the software-defined display density (sometimes referred to as DPI). The display density is a variable defined by the system that tells the phone how many virtual dots fill each physical pixel of the display. A higher density means that everything on the screen is
physically smaller than a phone of the same size and resolution with a lower display density.
The Note 5 has a higher density than the Note 4, which means that items on the display are physically the same size as the Galaxy S6, but because the Note 5's screen is larger than the GS6 you can fit
more things on the display. The difference coming from the Note 4 is immediately apparent when you open up a calendar app, or Gmail, or Maps, or any other app that scales based on density (most apps should). You'll see more content on the display, even though the resolution of the panels are the same.
Anyone who dabbled with custom ROMs over the past few years is aware of tweaks that changed the DPI of phones (often to do things like force tablet layouts of software and apps) to change how things appeared on the screen, even though the resolution was the same.
As I note in the review it's easier to see in person than explain — partially due to the confusing terms thrown around without a lot of understanding of what the differences are — but there
is a difference between the Note 5 and 4 in this respect.
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Going a step beyond that point, I noticed on my Note 5 and Note 4 that the 5's screen was marginally better in a few different aspects. As I noted in the review, the lamination of the display (how all of the parts are smushed together) seems a bit better, leading to a little better clarity and color reproduction. Brightness also seemed marginally better. In all the differences aren't huge, and the progression simply marks how Samsung is constantly iterating on its display production processes over time.