Add linkchecker to build_sphinx test on travis-ci

Sphinx doesn't warn on a few cases with broken HTML internal links in the docs (not sure why).

These are fixed here and `linkchecker` is run on travis-ci (as e.g. [matplotlib does as well](https://github.com/matplotlib/matplotlib/blob/master/.travis.yml)), for internal links only so that will *not* cause any test failures if external webpages are down.
@cdeil - it looks like this reference and the one above aren't working which is what is causing Travis to fail. Could you look into this?