@nah_schneider você chegou a ver esse exemplo? Aqui cita explicitamente modelos customizados ..."each of the LSTNet, Prophet, and SageMaker DeepAR algorithms..."
aws.amazon.com/pt/blogs/mach…
“LSTNet is one of the first papers that proposes using an LSTM attention mechanism for multivariate forecasting time series” — Isaac Godfried towardsdatascience.com/atten…