Chapter 4 Linear models III: shrinkage, multivariate response, and big data

We explore in this chapter several extensions of the linear model for certain non-classical settings such as: high-dimensional data ($p\gg n$) that requires from shrinkage methods, big data (large $n$) that demands thoughtful computations, and the multivariate response situation in which the interest lies on explaining a vector of responses $\mathbf{Y}=(Y_1,\ldots,Y_q).$