Floor area and sale price
Sale prices against floor area, on a market that includes 700-square-foot starters and 4,500-square-foot custom builds. The mean rises with size, and so does the spread. A 4,000-sqft house has a lot more room to be cheap or expensive than a 700-sqft one does. A straight line gets the slope and loses everything else.
-- A line averages a market that scatters very differently at each scale: off at the small end, off at the large end, indifferent about why.
⌇ Normal GAM bends to the actual mean, but holds spread constant across the whole market. The gray band is the same width at 800 sqft as at 4,000, wrong in both directions.
◈ Gamma GAMLSS lets the spread ride along with the mean. The orange band fans out at the high end where prices genuinely vary, and tightens at the low end where they don't.