Feat/specify lags per component for RegressionModel #4347

Job	Run time
lint	55s
check-examples (03-FFT-examples.ipynb)	5m 27s
tests (macos-latest, 3.9, all)	37m 53s
check-examples (04-RNN-examples.ipynb)	13m 36s
docs	11m 45s
tests (ubuntu-latest, 3.9, all)	37m 38s
check-examples (00-quickstart.ipynb)	10m 49s
check-examples (02-data-processing.ipynb)	8m 20s
check-examples (01-multi-time-series-and-covariates.ipynb)	8m 36s
	2h 14m 59s

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