Thoughts on when to use “fancy models” for time series?

It’s generally true that simple models outperform fancy ones for a lot of tasks. This seems particularly true for time series. Usually something like an ETS, Theta, or ARIMA model ends up having the best backtest performance.

For those of you who work in time series, what are the characteristics shared by times series which are modelled best by things like LSTMs, TCNs, GRUs etc?

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