[Minor] Raise Error if ar_reg is set an dn_lags is null

[MaiBe-ctrl]

🔬 Background

-fixes #1560

🔮 Key changes

• Explain the main changes introduced by this pull request for the reviewer.

📋 Review Checklist

• I have performed a self-review of my own code.
• I have commented my code, added docstrings and data types to function definitions.
• I have added pytests to check whether my feature / fix works.

Please make sure to follow our best practices in the Contributing guidelines.

[github-actions]

Model Benchmark

Benchmark	Metric	main	current	diff
PeytonManning	MAE_val	0.34955	0.34955	0.0%	✅
PeytonManning	RMSE_val	0.50049	0.50049	0.0%	✅
PeytonManning	Loss_val	0.01771	0.01771	0.0%	✅
PeytonManning	MAE	0.34653	0.34653	0.0%	✅
PeytonManning	RMSE	0.49312	0.49312	0.0%	✅
PeytonManning	Loss	0.01464	0.01464	0.0%	✅
PeytonManning	time	14.189	14.38	1.35%	✅
AirPassengers	MAE_val	30.6285	30.6285	0.0%	✅
AirPassengers	RMSE_val	31.5254	31.5254	0.0%	✅
AirPassengers	Loss_val	0.01277	0.01277	0.0%	✅
AirPassengers	MAE	6.16861	6.16861	0.0%	✅
AirPassengers	RMSE	7.85225	7.85225	0.0%	✅
AirPassengers	Loss	0.00065	0.00065	0.0%	✅
AirPassengers	time	9.13176	9.11	-0.24%	✅
EnergyPriceDaily	MAE_val	5.41157	5.41157	0.0%	✅
EnergyPriceDaily	RMSE_val	6.71538	6.71538	0.0%	✅
EnergyPriceDaily	Loss_val	0.02525	0.02525	0.0%	✅
EnergyPriceDaily	MAE	5.94936	5.94936	0.0%	✅
EnergyPriceDaily	RMSE	7.9833	7.9833	0.0%	✅
EnergyPriceDaily	Loss	0.02579	0.02579	0.0%	✅
EnergyPriceDaily	time	16.8187	17.53	4.23%	⚠️
YosemiteTemps	MAE_val	0.56412	0.56412	0.0%	✅
YosemiteTemps	RMSE_val	0.83161	0.83161	0.0%	✅
YosemiteTemps	Loss_val	0.0004	0.0004	0.0%	✅
YosemiteTemps	MAE	0.98449	0.98449	0.0%	✅
YosemiteTemps	RMSE	1.75389	1.75389	0.0%	✅
YosemiteTemps	Loss	0.00132	0.00132	0.0%	✅
YosemiteTemps	time	39.6227	38.23	-3.51%	✅

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Model training plots

\n ## Model Training ### PeytonManning  ### YosemiteTemps  ### AirPassengers  ### EnergyPriceDaily  \n