Regression is a statistical approach for modelling the relationship between a response variable y and one or several explanatory variables x. Various types of regression methods are extensively applied for the analysis of data from literarily all fields of quantitative research. For example, multiple linear regression, logistic regression, and Cox proportional hazards models have been the main basic statistical tools in medical research for decades. In the last 20–30 years, the regression toolbox has been supplied with numerous extensions, like, for example, generalized additive models, regression methods for repeated measurements, and regression methods for high-dimensional data, to mention some.