The SCM R package offers methods for fitting multivariate Gaussian additive models, where the unconstrained entries of a covariance matrix parametrisation are allowed to vary with smooth functions of the covariates.
The models are fitted using the gam_scm() wrapper, which uses the model fitting routines of the mgcv package. The diagnostic and model visualising tools of the mgcViz package can be used. See the vignettes for an introduction to the main functionality of the SCM package.