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For what it may be worth, the most common format I've seen for the initials is J.R.R. Tolkien. OTOH, I have seen JRR Tolkien & J. R. R. Tolkien on covers. Even one where the publishers just used Tolkien on the cover with no initials (Unwin did this for one set). I'm not going to get into the covers where the name is rendered in what looks like a bastardized Tengwar font or the ones where an interpunct is used (J· R· R· Tolkien).
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