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The key difficulty is that linear model for the multiple response \\(Y\\) does not hold, and the dependency between the random covariates in \\(X\\) and the residual terms in \\(E=Y-XB.\\) The paper under review overcomes these challenges by using sub-exponential concentration bounds, and exploiting the decomposition of marginal covariance matrix.  Main contributions are as follows. 1. A coordinate-sparse multi-class optimal scoring problem is formulated as the penalized multiple response linear regression problem. 2. The concentration bound is derived for the maximal row \\(l_2\\) norm of \\(n^{-1}X^\\top E\\). Here \\(X\\) and \\(E\\) could be non-Gaussian and/or correlated. 3. Out-of-sample prediction and estimation bounds are derived for sparse multi-class optimal scoring problem which allow both the number of features and the number of classes to grow with the sample size. Bounds of two types are obtained: (a) slow-rate bounds which make no assumptions on the correlation structure of \\(X\\) or the sparsity of \\(B\\), and (b) fast-rate bounds which lead to faster convergence rates, but rely on exact sparsity of \\(B\\) and restricted eigenvalue condition. 4. 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