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proxymix: Gaussian Mixture Proxies for Densities and Characteristic Functions

Fits multivariate Gaussian-mixture proxies to target distributions on real Euclidean space, given by a density, by samples, or by a characteristic function. Four 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, (iii) importance-sampled expectation-maximisation that minimises the Kullback-Leibler divergence when the target can be evaluated point-wise but not (cheaply) sampled, and (iv) a least-squares fit to the characteristic function when only that is known, with numerical bounds on the Kolmogorov distance along one-dimensional projections. 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>.

Version: 0.17.0
Depends: R (≥ 4.3)
Imports: S7, stats, mvnfast, cli, rlang, data.table, withr
Suggests: mclust, mice, generics, ggplot2, viridis, patchwork, knitr, rmarkdown, RhpcBLASctl, testthat (≥ 3.0.0), vdiffr, spelling, covr
Published: 2026-10-24
DOI: 10.32614/CRAN.package.proxymix
Author: Max Moldovan ORCID iD [aut, cre], John van der Hoek [aut]
Maintainer: Max Moldovan <max.moldovan at gmail.com>
BugReports: https://github.com/max578/proxymix/issues
License: MIT + file LICENSE
URL: https://github.com/max578/proxymix, https://max578.github.io/proxymix/
NeedsCompilation: no
Language: en-AU
Citation: proxymix citation info
Materials: README, NEWS
CRAN checks: proxymix results

Documentation:

Reference manual: proxymix.html , proxymix.pdf
Vignettes: Mapping the optima of an objective (source, R code)
Fitting a mixture to a characteristic function (source, R code)
How well a mixture proxies four awkward shapes (source, R code)
Testing the last observation for instability (source, R code)
Reading the entropy of a fitted mixture (source, R code)
Compressing a kernel density estimate into a mixture (source, R code)
One mixture, many methods (source, R code)
Imputing missing data with a mixture (source, R code)
Missing data that depends on the missing value (source, R code)
The closed-form operator calculus on a mixture (source, R code)
Compressing a Bayesian posterior you can evaluate but not sample (source, R code)
Fitting a proxy to a density you cannot sample (source, R code)
Choosing between the three fitting regimes (source, R code)

Downloads:

Package source: proxymix_0.17.0.tar.gz
Windows binaries: r-devel: proxymix_0.17.0.zip, r-release: proxymix_0.17.0.zip, r-oldrel: proxymix_0.17.0.zip
macOS binaries: r-release (arm64): proxymix_0.17.0.tgz, r-oldrel (arm64): proxymix_0.17.0.tgz, r-release (x86_64): proxymix_0.17.0.tgz, r-oldrel (x86_64): proxymix_0.17.0.tgz
Old sources: proxymix archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=proxymix to link to this page.

These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.
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