Please feel free to document the `sparse` argument. BTW, I don't like the `sparse` option name for estimators. In scikit-learn, many object can be sparse: the input data, the output multilabel predictions, ouput transformed data or the model itself.

I would rather a use a more specific name: `sparse_output` or even `dense_output` (to be consistent with the `SparseRandomProjection` estimator).