VC-dimension can be used to quantify the capacity for classifier models and compute generalization bounds, but is there an equivalent concept that can be applied to density estimation, e.g. to compute the capacity of a mixture of N Gaussians, etc? And if so, are there corresponding theorems showing that this capacity-measure can be used to bound the generalization error for density estimation, or used for structural risk minimization (analogous to the classification setting)?
I did find this article which seems like it might come pretty close to answering my question, since they apply structural risk minimization (SRM) to gaussian mixture models, and it looks like they estimate the capacity using "annealed entropy" applied to a class of threshold-based indicator functions associated with the log-likelihood function. However, they don't provide references to theorems/bounds to show whether this is a principled way to assess the capacity of a probability density, but perhaps there is some known theorem that justifies this approach which they assume the reader already knows about? They reference Vapnik's book for more details on annealed entropy.
Also, my understanding is that fat-shattering or pseudo-dimension can be used as a generalization of VC-dimension to the regression context, but I'm unclear whether these are applicable to density estimation. And it looks like the paper linked above used annealed entropy rather than these regression-based capacity measures.