I'm comparing several GAMLSS models and was wondering how I might use the term.plot to identify the best model/fit. What type of information can we get from this graph? Can I argue that the model with a wider confidence interval performs worse (just looking at this plot, how do you determine on the model's performance)?
Selecting the best model can be
(i) by choosing the fitted model with lowest generalized Akaike information criterion GAIC(k) for a user chosen penalty k for each effective degree of freedom in the model. [e.g k=2 for AIC or k=log(n) for BIC, although I prefer k=4 for a Chi-squared test (Chi-Sq with 1 df at 5% =3.84, approx 4]
(ii) looking at the residual (multiple) worm plots and Q-statistics. This especially highlights problems in the tails of the fitted models.