[DOC] guide for adding cython based estimators (#4388)

This adds a small paragraph to the estimator contribution guide to cover cython based estimators.

Based on the example #4337, and a guide-like summary of the discussion in #4296.

FYI @heerme, @lnthach.

docs/source/developer_guide/add_estimators.rst

@@ -232,3 +232,26 @@ additional things need to be done:
 Don't panic - when contributing to ``sktime``, core developers will give helpful pointers on the above in their PR reviews.
 
 It is recommended to open a draft PR to get feedback early.
+
+Estimators dependent on cython
+------------------------------
+
+To add an estimator to ``sktime`` that depends on cython, the following additional steps are needed:
+
+*   all cython code should be present in a separate package on ``pypi`` and/or ``conda-forge``.
+    No cython dependent code should be added directly to ``sktime``.
+    Below, we call this separate package ``home-package``, for simplicity of reference.
+*   In ``home-package``, it is recommended to test the estimator via ``check_estimator``,
+    on the same test matrix as ``sktime``: all supported python versions; MacOS, Linux, Windows.
+*   In ``sktime``, an interface to the algorithm should be added.
+    This can be a simple import from ``home-package``,
+    if the algorithm in ``home-package`` already passes ``check_estimator``.
+*   Alternatively, the algorithm can be interfaced via a delegator as a delegate,
+    tags and method overrides can be added in the delegator. See, e.g., ``MySQM`` for this.
+*   For the ``sktime`` interface, the ``requires_cython`` tag should be set to ``True``,
+    and the ``python_dependencies`` tag should be set to the string ``"home-package"``.
+
+If all has been setup correctly, the estimator will be tested in ``sktime`` by the
+CI element ``test-cython-estimators``.
+Note that this CI element does not cover the full test matrix
+of python version and operating systems, this should be done in the upstream package.