Hi Steven. It is the integral of the pdf function should be 1. So if your x-interval is very small, then the y-value of the pdf function could be larger than 1. E.g. A uniform distribution on x=[0,0.01]. Then y need to be 100 to make the integral 1.
I am using Botev tools and do not understand why the density function has values greater than one. I am knew to KDE and don't understand this yet. I figue a density function is suppose to add up to 1 when you integrate it?