[DOC] Add Raises to docstrings for methods that can raise exceptions

[TonyBagnall]

Describe the issue linked to the documentation

We mostly do not document the errors raised and the reasons for them. It would be good to do so. This should be done incrementally and is a good first issue.

1. Pick and estimator and try break it
2. Look at the docstrings (may be base class) and see if its documented
3. If not add under

Raises

we may need to discuss where it should be documented and the effect this has on the documentation @MatthewMiddlehurst. I'll look for a good example

Suggest a potential alternative/fix

No response