doc: add auto-intersphinx to conf.py and in deps.

doc/conf.py

@@ -27,6 +27,7 @@ extensions = [
     "sphinx.ext.viewcode",
     "sphinx.ext.mathjax",
     "matplotlib.sphinxext.plot_directive",
+    "auto_intersphinx",
 ]
 
 # Be picky about warnings
@@ -231,3 +232,11 @@ autodoc_default_options = {
     "undoc-members": True,
     "show-inheritance": True,
 }
+
+auto_intersphinx_packages = [
+    ("python", "3"),
+    "numpy",
+    "scikit-learn",
+    "dask",
+]
+auto_intersphinx_catalog = "catalog.json"

pyproject.toml

@@ -42,6 +42,7 @@
 [project.optional-dependencies]
     qa = ["pre-commit"]
     doc = [
+        "auto-intersphinx",
         "sphinx",
         "sphinx_rtd_theme",
         "sphinx-autodoc-typehints",