I was wondering if you could tell me about some self-learning resources for linear model theories. My professor has been using "A First Course in Linear Model Theory, Ravishanker and Dey. Publisher: CRC." I found this kinda difficult. My major is mathematics. Thank you so much for your time!
Reading the whole book on just linear models may be an overkill. This will be especially inefficient if the book is all about "traditional" thinking and does not present a detailed overview of regularization. In many situations, regularization allows one to improve estimation methods for linear models, generating techniques like lasso, ridge regression, elastic nets, least angle regression and principal components regression (I will stress: all of those are methods for linear models.). I have discovered that all major facts about linear models are covered by
chapter 3 of Hastie, T., Tibshirani, R., & Friedman, J. H. (2008). The elements of statistical learning: Data mining, inference, and prediction. New York: Springer.
chapters 2-5 of Greene, W. H. (2012). Econometric Analysis (7th ed). Upper Saddle River, NJ: Prentice Hall.