We study the Finite-Dimensional Distributions (FDDs) of deep neural networks with randomly initialized weights that have finite-order moments. Specifically, we establish Gaussian approximation bounds in the Wasserstein-1 norm between the FDDs and their Gaussian limit assuming a Lipschitz activation function and allowing the layer widths to grow to infinity at arbitrary relative rates. In the special case where all widths are proportional to a common scale parameter n and there are L-1 hidden layers, we obtain convergence rates of order n^- ({1/6) ^L-1 + ε}, for any ε> 0.
Balasubramanian et al. (Wed,) studied this question.