We revisit the problem of depth separation for neural networks, as studied by Eldan and Shamir, Daniely, and others. Specifically, we consider the natural setting of $L^2$ approximation of radial functions under the standard Gaussian measure in $d$ dimensions. We show that there is a radial function in $L^2$ under the standard Gaussian measure that can be approximated to a fixed sufficiently small $L^2$ error by a depth-3 ReLU neural network of polynomial size in $d$ but can only be approximated by depth-2 networks with subexponentially bounded weights if their size is at least exponential in $d$. For that, we prove a general result showing that if a radial function has substantial mass in the high frequencies of its Hermite expansion, then it cannot be well approximated by a depth-2 neural network with small width and bounded weights. All theorems, lemmas, propositions, and corollaries are verified in Lean~4.

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