# how to show the following consistency?

It is well-known that maximum likelihood estimate for a mixture model, with the mixture distributions known, and the estimation is done for the mixture coefficients is consistent (I think) -- the ML objective has a single likelihood, so expectation-maximization will be consistent.

What if the mixture distributions themselves are estimated from data, and their estimators are consistent? Will that yield a consistent estimator for estimating the mixture components as well, when using the estimated mixture distributions, or not?

(To put it more mathematically:

Say we have a discrete random variable $X$ accepting values between $1$ and $n$.

We also have $m$ fixed distributions $p_i(X = x)$ for $i = 1, ..., m$.

We want to estimate $\theta$ for the model $$p(X = x) = \sum_i \theta_i p_i(X = x).$$

The maximum likelihood estimate is going to be consistent.

Now what if we didn't have $p_i$ but instead $\hat{p_i}$ (estimators of $p_i$) such that $\hat{p_i}(X = x) \rightarrow p_i(X = x)$ as we have more data?

I am guessing the ML estimator for $\theta$ while using $\hat{p_i}$ will still be consistent, is that correct? If so, what is roughly the way to show it?

)

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