R Packages

ISBF - Iterative Selection of Blocks of Features for regression estimation with L2 loss, doc

MMDCopula - Estimation of Copula via MMD (written with Alexis Derumigny, Badr-Eddine Chérief-Abdellatif and Jean-David Fermanian), doc

pacbpred - PAC-Bayesian Estimation and Prediction in Sparse Additive Models (written by Benjamin Guedj), doc

PACVB - VB Approximations of Gibbs Classifiers with Hinge Losses for Classification and Ranking (written by James Ridgway), doc

nmfem - NMF-EM algorithm for reduction of dimension in mixture models (written by Léna Carel), doc

TrendTM - Trend of High-Dimensional Time Series Matrix Estimation (written by Emilie Lebarbier, Nicolas Marie and Amélie Rosier, I am not involved at all in the development of this package but it implements the estimator studied in our joint paper with Nicolas Marie, EJS 2019), doc

Python notebooks

VB for mixtures - A notebook written by Badr-Eddine Chérief-Abdellatif for our paper "Consistency of Variational Bayes Inference for Estimation and Model Selection in Mixtures"