Transform `self.cat_names` columns in categorical.

def apply_train(self, df:DataFrame):
        "Transform `self.cat_names` columns in categorical."
        self.categories = {}
        for n in self.cat_names:
            df.loc[:,n] = df.loc[:,n].astype('category').cat.as_ordered()
            self.categories[n] = df[n].cat.categories