Abstract. Let A + = {a = (a n ) ∈ p>1 p : a n > 0, ∀n ∈ N} and let {φ j } ∞ j=1 be an enumeration of all normal distributions with mean a rational number and variance 1 n 2 , n = 1, 2 . . . . We prove that there exists an a ∈ A + such that every probability density function, continuous, with compact support in R, can be approximated in L 1 and L ∞ norm simultaneously by the averagesThe set of such sequences is a dense G δ set in A + and contains a dense positive cone.