A Monte Carlo simulation study on Choquet integral with respect to different fuzzy measures

In this paper, a hybrid method based on Monte Carlo simulation study method and 5-fold cross-validation MSE method is used, a simulation experiment is conducted for comparing the performances of a multiple linear regression model, a ridge regression model, and the Choquet integral regression model with respect to three well known fuzzy measures, P-measure, λ-measure and L-measure, respectively. The result shows that the Choquet integral regression model with respect to L-measure outperforms other forecasting models.