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proxymix  

Kullback-Leibler Optimal Gaussian Mixture Proxies for Target Densities
View on CRAN: Click here


Download and install proxymix package within the R console
Install from CRAN:
install.packages("proxymix")

Install from Github:
library("remotes")
install_github("cran/proxymix")

Install by package version:
library("remotes")
install_version("proxymix", "0.16.0")



Attach the package and use:
library("proxymix")
Maintained by
Max Moldovan
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2026-10-08
Latest Update: 2026-10-08
Description:
Fits multivariate Gaussian-mixture proxies that are Kullback-Leibler optimal to user-supplied target densities on real Euclidean space. Three fitting regimes are unified under one verb: (i) closed-form moment matching for a single component, (ii) classical expectation-maximisation when independent samples are available, and (iii) importance-sampled expectation-maximisation that minimises the Kullback-Leibler divergence when the target can be evaluated point-wise but not (cheaply) sampled. Closed-form Gaussian-mixture operators (density, sampling, marginalisation, conditioning, divergence) round out the toolkit. The conditioning operator drives multiple imputation of data missing at random, covering the multimodal and heteroscedastic cases a single-Gaussian model cannot represent. Implements the regime hierarchy of van der Hoek and Elliott (2024) <doi:10.1080/07362994.2024.2372605>.
How to cite:
Max Moldovan (2026). proxymix: Kullback-Leibler Optimal Gaussian Mixture Proxies for Target Densities. R package version 0.16.0, https://cran.r-project.org/web/packages/proxymix. Accessed 24 Oct. 2026.
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