R packages

Generalized Additive Models

The following packages are part of the output of my research on GAM models:

• mgcViz: visual tools for Generalized Additive Models. See the github source code and the online manual. Available on CRAN.

• qgam: quantile additive model in R. See the github source code and the online manual. Available on CRAN.

• SCM: extension of mgcv for fitting multivariate Gaussian GAMs with dynamic covariance matrices in R. Mostly written by Vincenzo Gioia and available here.

• gamstackr: extension of mgcv for fitting stacking (aggregations of experts) models with dynamic weights. Mostly written by Euan Enticott and available here.

• gamfactory: extension of mgcv for fitting GAM models with nested effects and for creating new family of distributions. Written in collaboration with Claudia Collarin and Christian Capezza, and available here.

Monte Carlo methods and intractable likelihoods

I have also authored the following packages, related to my research on Monte Carlo methods and intractable likelihoods:

• mvnfast: fast multivariate normal and student’s t methods. See the github source code and the online manual. Available on CRAN.

• synlik: synthetic likelihood methods for intractable likelihoods. See the github source code and the vignette. Available on CRAN.

• esaddle: tools for fitting the Extended Empirical Saddlepoint (EES) density. See the github source code and the vignette. Available on CRAN.