@duality if you are starting out I would take a look at the Rossmann sales competition, Jeromy has talked about it in several courses. He uses the entity embeddings method which is very well documented in lots of blog posts.
rossman_data_clean.ipynb
and
lesson6-rossmann.ipynb
@jdemlow
If you want to look at an example of using the M5 competition SidNg is a Fasiai student that did very well on the M5 competition using the entity embedding method.
His fastai post
His blog post
His kaggle kernel
If I ever have time I think it would be a lot of fun to create a study group or videos content that help people learn about Time series forecasting using Deep learning Methods.