Add direct training support from HF format

[abdulfatir]

Currently, the user needs to convert the HF-style datasets to GluonTS arrow datasets. Enabling training directly on HF-style datasets would improve user experience.

[lien99]

hello, any progress?

[abdulfatir]

Hi @xjtulien, no progress unfortunately as this is not an immediate priority for us. We welcome any contributions addressing this!