Beyond Linear Regression

Linear regression is among the primary/entry-level Machine Learning (ML) models. It's not even wrong to say that it's the synonym of the "Hello world" program for Data scientists. Finding the linear regression coefficients β_1, …, β_p involves finding the "best" linear combination of variables that approaches the response. Said differently, finding the coefficients that minimize the mean squared error (MSE). It's possible to endow the regression coefficients with some extra properties by considering the MSE plus an additional penalty term.