deepAR RNN from AWS Sagemaker - should I clean the data first?
I wouldn't do much to the data before using as input to DeepAR. I would just make sure the timeseries I'm using as input have some variance (are not stationary for long).

DeepAR uses a simple yet efficient sampling technique to handle timeseries of different velocity.

DeepAR's paper state some of the capabilities the architecture should handle. https://arxiv.org/abs/1704.04110

In any case, it is always a responsible thing to try the simple first and use that as a baseline.