On the Best Approximation by Finite Gaussian Mixtures

We consider the problem of approximating a general Gaussian location mixture by finite mixtures. The minimum order of finite mixtures that achieve a prescribed accuracy is determined within constant factors for the family of mixing distributions with compact support or appropriate assumptions on the tail probability including subgaussian and subexponential. While the upper bound is achieved using the technique of local moment matching, the lower bound is established by relating the best approximation error to the low-rank approximation of certain trigonometric moment matrices, followed by a refined spectral analysis of their minimum eigenvalue. In the case of Gaussian mixing distributions, this result corrects a previous lower bound in 2.