Add hyperlinks to referenced documentation places.

[mkcor]

Description

@rfezzani tiny follow-up on #5365 (review) 😉

Checklist

• Docstrings for all functions
• Gallery example in ./doc/examples (new features only)
• Benchmark in ./benchmarks, if your changes aren't covered by an
  existing benchmark
• Unit tests
• Clean style in the spirit of PEP8

For reviewers

• Check that the PR title is short, concise, and will make sense 1 year
  later.
• Check that new functions are imported in corresponding __init__.py.
• Check that new features, API changes, and deprecations are mentioned in
  doc/release/release_dev.rst.

[mkcor]

It renders as:

and links lead to the expected places.

[rfezzani]

🎉 Excellent! Thank you @mkcor! Merging 😉