Why does scipy.norm.pdf sometimes give PDF > 1? How to correct it?

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It’s not a bug. It’s not an incorrect result either. Probability density function’s value at some specific point does not give you probability; it is a measure of how dense the distribution is around that value. For continuous random variables, the probability at a given point is equal to zero. Instead of p(X = x), we calculate probabilities between 2 points p(x1 < X < x2) and it is equal to the area below that probability density function. Probability density function’s value can very well be above 1. It can even approach to infinity.

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