Test cases for the SagemakerSDK (+ local_mode support)

Description

There should be at least some test cases making sure that the scripts don't brake when new things get introduced.

This could be done by:

• segmenting the train and run scripts into functions that get called in the train and run script and then testing those
• or implementing the local mode and then running local tests in the test suites

References

• SagemakerSDK: https://github.com/awslabs/gluon-ts/tree/master/src/gluonts/nursery/sagemaker_sdk
• The train and run scripts: https://github.com/awslabs/gluon-ts/tree/master/src/gluonts/nursery/sagemaker_sdk/entry_point_scripts