Hmmmm.... not sure exactly what you mean. I believe the setting you're describing is: we have a dataset we're trying to fit with a GMM, we know the number of components k, and we're trying to determine the parameters of the GMM, correct?

I suppose that you could adaptively sample points from the dataset to update your parameters of the GMM, and sample more points for parameters of the GMM that you're less certain about.

(To understand how the parameter estimates would converge to their true values, you'd likely need to use the delta method; see Appendix 3 in https://ar5iv.org/pdf/2212.07473.pdf for an example)

Is that what you had in mind?