Add a test_mstl module checking if transform returns desired comp…

…onents (#6084)

Closes #6083, resolves #5458.

This PR adds a test file for the
[MSTL](https://github.com/sktime/sktime/blob/main/sktime/transformations/series/detrend/mstl.py)
class. Currently, all it intends to do is test whether
[MSTL](https://github.com/sktime/sktime/blob/main/sktime/transformations/series/detrend/mstl.py)'s
`transform` returns the correct components when `return_components` is
set to True during initialization.

If it would be beneficial, I could probably expand the testing script to
test MSTL in other scenarios (like we do for `_detrender` and
`_deseasonalizer`). From @fkiraly's last comment in #5458, I thought
this would be the most immediately helpful and nice-to-have test.

There's just one method in my code right now so it should be quick to
review. This is my first PR here and I'm still familiarizing myself with
the codebase, so any feedback would help.

sktime/transformations/series/detrend/tests/test_mstl.py

@@ -0,0 +1,55 @@
+# copyright: sktime developers, BSD-3-Clause License (see LICENSE file)
+"""Tests MSTL functionality."""
+
+__author__ = ["krishna-t"]
+
+import pytest
+
+from sktime.datasets import load_airline
+from sktime.tests.test_switch import run_test_for_class
+from sktime.transformations.series.detrend.mstl import MSTL
+
+
+@pytest.mark.skipif(
+    not run_test_for_class([MSTL]),
+    reason="run test only if softdeps are present and incrementally (if requested)",
+)
+def test_transform_returns_correct_components():
+    """Tests if expected components are returned when return_components=True."""
+    # Load our default test dataset
+    series = load_airline()
+    series.index = series.index.to_timestamp()
+
+    # Initialize the MSTL transformer with specific parameters
+    transformer = MSTL(periods=[3, 12], return_components=True)
+
+    # Fit the transformer to the data
+    transformer.fit(series)
+
+    # Transform the data
+    transformed = transformer.transform(series)
+
+    # Check if the transformed data has the expected components
+    assert "transformed" in transformed.columns, (
+        "Test of MSTL.transform failed with return_components=True, "
+        "returned DataFrame columns are missing 'transformed' "
+        "variable."
+    )
+    assert "trend" in transformed.columns, (
+        "Test of MSTL.transform failed with return_components=True, "
+        "returned DataFrame columns are missing 'trend' variable."
+    )
+    assert "resid" in transformed.columns, (
+        "Test of MSTL.transform failed with return_components=True, "
+        "returned DataFrame columns are missing 'resid' variable."
+    )
+    assert "seasonal_3" in transformed.columns, (
+        "Test of MSTL.transform failed with return_components=True, "
+        "returned DataFrame columns are missing 'seasonal_3 "
+        "variable."
+    )
+    assert "seasonal_12" in transformed.columns, (
+        "Test of MSTL.transform failed with return_components=True, "
+        "returned DataFrame columns are missing 'seasonal_12' "
+        "variable."
+    )