Statistical modeling of transcription factor binding sites is one of the classical fields in bioinformatics. The position weight matrix (PWM) model, which assumes statistical independence among all nucleotides in a binding site, used to be the standard model for this task for more than three decades but its simple assumptions are increasingly put into question. Recent high-throughput sequencing methods have provided data sets of sufficient size and quality for studying the benefits of more complex models. However, learning more complex models typically entails the danger of overfitting, and while model classes that dynamically adapt the model complexity to data have been developed, effective model selection is to date only possible for fully observable data, but not, e.g., within de novo motif discovery.