On approximations via convolution-defined mixture models

Abstract: An often-cited fact regarding mixing or mixture distributions is that their density functions are able to approximate the density function of any unknown distribution to arbitrary degrees of accuracy, provided that the mixing or mixture distribution is sufficiently complex. This fact is often not made concrete. We investigate and review theorems that provide approximation bounds for mixing distributions. Connections between the approximation bounds of mixing distributions and estimation bounds for the maximum likelihood estimator of finite mixtures of location- scale distributions are reviewed.