Should I capitalize GAM, MARS and LOESS? I have to mention GAM (generalized additive models), MARS (multivariate adaptive regression splines), and LOESS in an academic paper.
I think GAM and MARS are capitalized in most cases, but not sure about LOESS.
I saw LOESS, Loess, and loess all.
 A: LOESS is an acronym of locally weighted scatterplot smoothing and as such is commonly written in uppercase. On another hand, some acronyms are written in lowercase and the rules are not that clear cut, as noticed e.g. in The Economist style guide:

Abbreviations that can be pronounced and are composed of bits of words
  rather than just initials should be spelt out in upper and lower case:
  Cocom, Frelimo, Kfor, Legco, Mercosur, Nepad, Renamo, Sfor, Unicef,
  Unison, Unprofor, Trips (trade-related aspects of intellectual
  property rights). There is generally no need for more than one initial
  capital letter, unless the word is a company or a trade name: MiG,
  ConsGold. (...)
Most upper-case abbreviations take upper-case initial letters when
  written in full (eg, the LSO is the London Symphony Orchestra), but
  there are exceptions: CAP but common agricultural policy, EMU but
  economic and monetary union, GDP but gross domestic product, PSBR but
  public-sector borrowing requirement, VLSI but very large-scale
  integration.

See also https://english.stackexchange.com/questions/51924/proper-capitalization-of-commonly-used-acronyms
