Please try compiling from source following the instructions in the link:
Only, please make sure that instead of git cloning recursive command which ends up installing mxnet 2.0.0. Get the 1.9.1 source from the mxnet downloads section and compile them & also make sure that you turn off and play around with the cmake config file by switching off CUDA or x86 related settings.
This approach worked for me: mxnet 1.9.1 & Python 3.7.13 (not sure if the python version makes sense, I figured out this combination from their official docker release which uses this combination. Other higher Python versions also should work. )
In parallel, I raised an issue (AttributeError when importing DeepAREstimator: module 'mxnet.gluon' has no attribute 'ParameterDict' · Issue #2451 · awslabs/gluonts · GitHub) and got the same response that mxnet 2.0.0 is not compatible with gluonTS.