Fix/optimized historical forecast with component specific lags #4409

Job	Run time
lint	1m 15s
docs	9m 8s
tests (macos-latest, 3.9, all)	49m 22s
check-examples (03-FFT-examples.ipynb)	4m 50s
tests (ubuntu-latest, 3.9, all)	36m 36s
check-examples (04-RNN-examples.ipynb)	10m 53s
check-examples (00-quickstart.ipynb)	8m 57s
check-examples (02-data-processing.ipynb)	8m 36s
check-examples (01-multi-time-series-and-covariates.ipynb)	8m 43s
	2h 18m 20s

Provide feedback