Internet of Things (IoT) devices built on different processor architectures have increasingly become targets of adversarial attacks. In this paper, we propose an algorithm for the malware classification problem of the IoT domain to deal with the increasingly severe IoT security threats. Application executions are represented by sequences of consecutive API calls. The time series of data is analyzed and filtered based on the improved information gains. It performs more effectively than chi-square statistics, in reducing the sequence lengths of input data meanwhile keeping the important information, according to the experimental results. We use a multi-layer convolutional neural network to classify various types of malwares, which is suitable for processing time series data. When the convolution window slides down the time sequence, it can obtain higher-level positions by collecting different sequence features, thereby understanding the characteristics of the corresponding sequence position. By comparing the iterative efficiency of different optimization algorithms in the model, we select an algorithm that can approximate the optimal solution to a small number of iterations to speed up the convergence of the model training. The experimental results from real world IoT malware sample show that the classification accuracy of this approach can reach more than 98%. Overall, our method has demonstrated practical suitability for IoT malware classification with high accuracies and low computational overheads by undergoing a comprehensive evaluation.