New metrics in the library

[iKintosh]

🚀 Feature Request

Add new metrics to library

Motivation

etna lib should contain all modern (and not so modern) and useful metrics.

Proposal

Add

• MASE (https://github.com/alan-turing-institute/sktime/blob/db50067185c42a46f6c670c9f2099ccf0d1ba41b/sktime/performance_metrics/forecasting/_functions.py#L322)
• MSSE (https://github.com/alan-turing-institute/sktime/blob/db50067185c42a46f6c670c9f2099ccf0d1ba41b/sktime/performance_metrics/forecasting/_functions.py#L577)

Test cases

Test that in simple cases they show correct results. https://github.com/tinkoff-ai/etna/tree/master/tests/test_metrics

Alternatives

No response

Additional context

Useful forecasting metrics: https://gist.github.com/bshishov/5dc237f59f019b26145648e2124ca1c9 Metrics theory: https://otexts.com/fpp2/accuracy.html#scaled-errors

Checklist

• [ ] I discussed this issue with ETNA Team