Table 1 Simulation setup

Fixed design parameters

Motivation

Simplicity, insight

Realistic data

Number of variables

4

17

Type of variables

Continuous

Continuous, binary

Distribution of variables

Gaussian

Mixed

(Supplementary Table S2)

Varying design parameters

Correlation structures \({\varvec{\Sigma}}\)

7 blocked correlation matrices with no or strong correlation (Supplementary Material Sect. 3.2)

Fixed, mimicking real study

(Supplementary Material Sect. 3.3)

Coefficient structures \({\varvec{\beta}}\)

10

(Supplementary Table S1)

13

(Supplementary Table S3)

True target R² (noise \({\varvec{\epsilon}}\))

0.2, 0.5, 0.8

0.2, 0.5, 0.8

Observations per variable

5, 10, 50

5, 10, 50

Simulation parameters

Number of scenarios

630

117

Iterations per scenario

900

900