There is no guard agains different set of features for different segments

[d-a-bunin]

Description

Currently, it is possible to create a TSDataset with different set of features for different segments. The problem is that TSDataset wasn't designed for such cases and wasn't tested. I think most of features could break with such data, but removing this possibility could be a breaking change for some users.

Thoughts

In theory, this could be declared as a bug and fixed without updating major version.

We should probably add a validation on such case during __init__.

We should probably add validation on such conditions into public methods which allow to change TSDataset:

• add_target_components
• add_prediction_intervals
• add_columns_from_pandas

Related

• Problematic indexing of `TSDataset` #310