S by Jim Ramsey
3 packages on CRAN
These functions were developed to support functional data analysis as described in Ramsay, J. O. and Silverman, B. W. (2005) Functional Data Analysis. New York: Springer and in Ramsay, J. O., Hooker, Giles, and Graves, Spencer (2009). Functional Data Analysis with R and Matlab (Springer). The package includes data sets and script files working many examples including all but one of the 76 figures in this latter book. Matlab versions are available by ftp from <http://www.psych.mcgill.ca/misc/fda/downloads/FDAfuns/>.
These functions implement collocation-inference for continuous-time and discrete-time stochastic processes. They provide model-based smoothing, gradient-matching, generalized profiling and forwards prediction error methods.
Smoothing splines with penalties on order m derivatives.