A Dirichlet-Quantile Bootstrap approach for the probabilistic resampling of time series

RESUMO

This work presents DPQBootstrap, a probabilistic resampling method for time series based on a Dirichlet quantile bootstrap and rank-based temporal reconstruction. The method aims to generate pseudo-series that preserve the main characteristics of the original series, including variability, quantiles, extreme values, and part of its temporal dependence. A simulation study compares DPQBootstrap with the Maximum Entropy Bootstrap implemented in the meboot package across eight simulation scenarios. The results show that DPQBootstrap achieves 106 wins over 86 for meboot according to the Interval Score, indicating a strong ability to preserve the statistical properties of the original time series. In addition, an empirical application was conducted within a Bayesian ARMA forecasting framework, with and without DPQBootstrap integration. The results indicate that incorporating DPQBootstrap can improve point forecast accuracy and the quality of predictive intervals, particularly when combined with appropriately specified ARMA models.