Allow categorical components to be >1D

[jfoster17]

Is your feature request related to a problem? Please describe it:
Categorical components are currently limited to be 1D, but it is sometimes useful to have categorical components with higher dimension.

Describe the solution you'd like:
Enable categorical components with >1D, perhaps by casting the input array to 1D, using the current pandas functions to transform and then casting back into the original shape.

Additional context:
Originally posted as a request in Slack.