Which firearm should I purchase? Experienced users help(dads what would suggest for your daughter?)?

I'm a single female and live by myself. I would like to purchase my first firearm. I asked my father ( who is an overprotective retired Marine and experienced user. I grew up with shotguns tucked in every closet or corner so they don't scare me) how he felt about it and which one I should purchase. He said I should go with something larger then a 9mm something that say worst case scenario if I were cornered in my bedroom by an intruder I should be able to fire through the wall( I said overprotective right).I think thats maybe to much but he has a valid point.Awhile a go my friend ( who's experienced) taught me how to load and fire a automatic 9mm. It was easy I could control it pretty good despite being a little nervous and sweaty palms. So my question is should do you suggest something larger or should I stick with the 9? I'm taking in the fact that if something did happen could I control it with nerves or adrenaline pumping. I'm a pretty strong female 5'11 175lbs so kickback is important