SageMaker DeepAR access data Can SageMaker DeepAR algorithm only deal with training data that resides in Amazon S3 buckets?
Yes, it appears to be so. Look here for more details.
Here is a small, but important, extract:

&quot;Just like other Amazon SageMaker algorithms, it [deepAR] relies on Amazon
Simple Storage Service (Amazon S3) to store the training data and the
resulting model.&quot;

Hope this helps.