text: Title: RAM consumption of TimeSeriesDataset
  Body: I have a dataframe that consumes aprox 10 G in memory. when i try to build the TimeSeriesDataset, it consumes >30G in memory (making explode my RAM). I know It makes sense because the time series dataset is a bigger structure than the dataframe. 
  
  How much can the memory consumption grow when building the time series dataset? Like a 4x? I would like to have an estimation to know how to reduce the original dataframe. Is there any way to make TimeSeriesDataset consume less RAM?
  
  Thanks @jdb78 
  