`scipy.stats.multivariate_normal.pdf(...)` Produce A Value Outside Of [0,1] Unexpectedly

import scipy.stats means = [2,2] covariance = [[0.0020, 0.0008], [0.0008, 0.0020]] scipy.stats.multivariate_normal(means, covaraince).pdf([2,2]) > 86.8261397553570

Solution 1:

A PDF can in principle take any non-negative value, as long as it integrates to one. The result you are getting is correct.

Posted on behalf of @Stelios's answer in comments