Some of you have asked me for recommended references regarding general statistics and regression models. My personal recommendation would be to consult the following books:
- For general introductory statistics up to and including linear regression: G. Casella, R.L. Berger, Statistical Inference, 2nd ed., Duxbury Press, 2002.
- For an accessible introduction to linear regression models (especially LASSO and Ridge regression): Chapter 3 of The Elements of Statistial Learning available as pdf at http://www-stat.stanford.edu/~tibs/ElemStatLearn/
- For a detailed treatment of essentially all important aspects of regression models: N.R. Draper, H.S. Smith. Applied regression analysis, 3rd ed., Wiley, 1998. (Note that the 3rd edition is a significant update of the earlier editions.)
- For a concise, yet detailed treatment of linear regression: Chapter 8 of A.C. Davison, Statistical models, Cambridge University Press, 2003.