Add forecast components handling in TSDataset

[alex-hse-repository]

🚀 Feature Request

Meta-data about forecast components should be stored in the TSDataset and updated via it's interface.

Proposal

0. In the constructor add attribute:

self._target_components: Optional[List[str]] = None

1. Add property:

def target_components(self) -> Optional[List[str]]

2. Create method

def add_target_components(self, df: pd.DataFrame)

• df -- dataframe in wide format with the forecast/predict components
• check that self._target_components is not initialized yet, in the other case throw error
• check that each segment contains the same set of components
• check that components in each segment sum up to target in the dataset
• store component names in self._target_components
• merge df with self.df

3. Create method

def get_target_components(self) -> Optional[pd.DataFrame]

• if self._target_componets is not initialized return None
• Return dataframe with self._target_componets if exists

4. In methods tsdataset_idx_slice, train_test_split, get_level_dataset copy self._target_components to the new datasets
5. In the end of make_future reset self._target_components to None
6. In drop_features throw error if user tries to drop some of the components and don't drop them

Test cases

1. Test that get_target_components works correctly

• Return None if self._target_components not initialized
• Return dataframe with correct columns in the other case

2. Test that add_target_components

• Raise error in case of inconsistent set of components, initialized self._target_components, components don't sum up to target
• Store component names in self.target_components
• Store components in self.df

3. Check that components are copied to the new datasets in tsdataset_idx_slice, train_test_split, get_level_dataset
4. Check that make_furture reset self._target_components attribute
5. Check that drop_features throw error in case of trying to drop the components

Additional context

There should be only one set of components. We add it via add_target_components and can't modify this set anymore. If components present in the dataset, they are consistent with target.