Model complexity.

Data represent the estimated (mean) number of included variables in m = 5000 simulations for n = 50, 110 and 500 with 9 and 5 meaningful variables and 0 and 4 nuisance variables for scenario B and C, respectively. For scenario C the average numbers of included nuisance variables are given in parentheses. Ordinary least square estimation (OLS); Stepwise-backward variable selection with AIC (sAIC) and BIC (sBIC); Penalized estimation by using the Ridge method (Ridge), the least absolute shrinkage and selection operator (LASSO) and the elastic net L1-L2 (Enet 1), elastic net L2-L1 (Enet 2), elastic net L1+L2 (Enet 3). Model complexity.