Continuous Time Markov Chain for Smartwatch Sensors

ABSTRACT Time‐series forecasting is essential for predicting events in the future and for tracking objects. The conventional recurrent neural network model needs to pad the target with zeros when handling long inputs, resulting in a loss in accuracy. Recently, it was proposed to divide a time series input into patches and merge the learned weights. However, such a model is difficult to interpret. In this article, we consider a mixture of continuous and discrete Markov states to model long‐range time dependencies. For example, in a vehicle, each gear level can be a discrete state and the throttle input is continuously controlled to maximise the efficiency of the engine. Data collected from the sensor is prone to noise due to component faults or external disturbances. Hence, we apply a stability constraint to select samples for training. We validate our algorithm on three datasets: (1) Apple Watch, (2) Car engine and (3) Election tweets. On all datasets, we achieve an improvement in the range of 5%–20% in the F‐measure. Furthermore, the features learned are easy to explain in terms of real‐world scenarios.