Abstract
In this paper, some statistical properties of the Choquet integral are discussed. As an interesting application of Choquet integral and fuzzy measures, we introduce a new class of exponential-like distributions related to monotone set functions, called Choquet exponential distributions, by combining the properties of Choquet integral with the exponential distribution. We show some famous statistical distributions such as gamma, logistic, exponential, Rayleigh and other distributions are a special class of Choquet distributions. Then, we show that this new proposed Choquet exponential distribution is better on daily gold price data analysis. Also, a real dataset of the daily number of new infected people to coronavirus in the USA in the period of 2020/02/29 to 2020/10/19 is analyzed. The method presented in this article opens a new horizon for future research.