Abstract: An Artificial Intelligence (AI) based data processing system transforms a plurality of time series data sets for processing by one or more deep learning (DL) models for generating forecasts. The DL models are initially trained on training data generated from the historical data. During operation, a plurality of transformed time series data sets are generated from the plurality of time series data sets associated with different entities in an entity hierarchy via data flattening and data stacking. A primary model of the one or more DL models is trained on first-party data for generating the forecasts. An extended model of the one or more DL models is trained on third-party data from external data sources. Whenever new data is available in the first-party data or the third-party data, the primary model and the extended model are correspondingly updated.