Feat/specify lags per component for RegressionModel #4352

Job	Run time
lint	1m 14s
check-examples (03-FFT-examples.ipynb)	4m 37s
docs	10m 11s
check-examples (04-RNN-examples.ipynb)	10m 39s
tests (macos-latest, 3.9, all)	46m 33s
check-examples (00-quickstart.ipynb)	8m 11s
tests (ubuntu-latest, 3.9, all)	38m 50s
check-examples (02-data-processing.ipynb)	7m 59s
check-examples (01-multi-time-series-and-covariates.ipynb)	13m 19s
	2h 21m 33s

Provide feedback