The R software iLaplace
Improved Laplace approximation for integrals of unimodal functions. The method requires user-supplied R functions for: the integrand, its gradient and its Hessian matrix. The computations are run in parallel.
https://cran.r-project.org/web/packages/iLaplace/
The R software MATCHING-SN
Cabras, S., Castellanos, M.E., Racugno, W., Ventura, L. (2012). A matching prior for the shape parameter of the skew-normal distribution. Scandinavian Journal of Statistics, 39, 236-247.
The R package ProbYX
The package ProbYX can be used for inference on the stress-strength reliability model R = P(Y min X), with Y, X independent continuous random variables. It computes confidence intervals and point estimates for R, under parametric model assumptions (Gaussian and exponential models).
Cortese, G., Ventura, L. (2013), Accurate likelihood on the area under the ROC curve for small samples, Computational Statistics, to appear (doi: 10.1007/s00180-012-0343-z)
Download ProbYX_1.0 for Windows
Download ProbYX_1.0 for Unix/Linux
The R software HOTA
Ruli, E., Sartori, N., Ventura, L. (2014), Marginal posterior simulation via higher-order tail area approximations, Bayesian Analysis, 9, 129-146.