Wolfgang Karl Hardle & Leopold Simar 
Applied Multivariate Statistical Analysis [PDF ebook] 

Focusing on high-dimensional applications, this 4th edition presents the tools and concepts used in multivariate data analysis in a style that is also accessible for non-mathematicians and practitioners. All chapters include practical exercises that highlight applications in different multivariate data analysis fields. All of the examples involve high to ultra-high dimensions and represent a number of major fields in big data analysis.The fourth edition of this book on Applied Multivariate Statistical Analysis offers the following new features:A new chapter on Variable Selection (Lasso, SCAD and Elastic Net)All exercises are supplemented by R and MATLAB code that can be found on www.quantlet.de.The practical exercises include solutions that can be found in Hardle, W. and Hlavka, Z., Multivariate Statistics: Exercises and Solutions. Springer Verlag, Heidelberg.