Actually I merged too quickly, the shape info is wrong:

```
>>> X, y = np.random.normal(size=(100, 10)), np.random.randint(0, 3, 100)
>>> import numpy as np
>>> X, y = np.random.normal(size=(100, 10)), np.random.randint(0, 3, 100)
>>> from sklearn.lda import LDA
>>> lda = LDA(n_components=5).fit(X, y)
>>> lda.coef_.shape
(3, 2)
>>> np.unique(y)
array([0, 1, 2])
>>> X, y = np.random.normal(size=(100, 10)), np.random.randint(0, 5, 100)
>>> lda = LDA(n_components=5).fit(X, y)
>>> lda.coef_.shape
(5, 4)
>>> np.unique(y)
array([0, 1, 2, 3, 4])
```