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Hello,
Thank you for using AWS SageMaker. I understand that you are looking for Incremental training using SageMaker DeepAR algorithm where you can add trained DeepAR model saved in S3 location which further optimize your model.
Unfortunately at this time, only three built-in algorithms currently support incremental training: Object Detection - MXNet, Image Classification - MXNet, and Semantic Segmentation Algorithm.
If you need any further assistance or need detailed investigation please open a support case with AWS
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