The -format parameter -format intended for outputting metadata in a specific format, and not for selecting the format of the output file.
The choice of a specific output format is performed by prefixing the name of the output file with the tag described in http://www.imagemagick.org/script/formats.php , for example
convert input.jpg jxr:output.jpg
Typically, imagemagick determines the output format based on the file extension that you have selected for your output file, so by choosing .jxr as the file extension, it should automatically use the JPEG-XR format.
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