Fit the transform

        Parameters
        ----------
        X : array-like, shape [n_series, ...]
            Segmented time series data and (optionally) contextual data
        y : None
            There is no need of a target in a transformer, yet the pipeline API requires this
            parameter.

        Returns
        -------
        self : object
            Returns self.

def fit(self, X, y=None):
        '''
        Fit the transform

        Parameters
        ----------
        X : array-like, shape [n_series, ...]
            Segmented time series data and (optionally) contextual data
        y : None
            There is no need of a target in a transformer, yet the pipeline API requires this
            parameter.

        Returns
        -------
        self : object
            Returns self.
        '''
        check_ts_data(X, y)
        self._reset()
        if self.verbose:
            print("X Shape: ", X.shape)
        self.f_labels = self._generate_feature_labels(X)
        return self