A Hidden Markov Ensemble Algorithm Design for Time Series Analysis

With the exponential growth of data, solving classification or regression tasks by mining time series data has become a research hotspot. Commonly used methods include machine learning, artificial neural networks, and so on. However, these methods only extract the continuous or discrete features of sequences, which have the drawbacks of low information utilization, poor robustness, and computational complexity. To solve these problems, this paper innovatively uses Wasserstein distance instead of Kullback–Leibler divergence and uses it to construct an autoencoder to learn discrete features of time series. Then, a hidden Markov model is used to learn the continuous features of the sequence. Finally, stacking is used to ensemble the two models to obtain the final model. This paper experimentally verifies that the ensemble model has lower computational complexity and is close to state-of-the-art classification accuracy.