mgcv. It is a modification
of the function glm.fit, designed to be called from gam. The major
modification is that rather than solving a weighted least squares problem at each IRLS step,
a weighted, penalized least squares problem
is solved at each IRLS step with smoothing parameters associated with each penalty chosen by GCV or UBRE,
using routine mgcv. For further information on usage see code for gam.Wood (2000) Modelling and Smoothing Parameter Estimation with Multiple Quadratic Penalties. JRSSB 62(2):413-428
gam mgcv