> With my rst renderer, I am unable to test the referencing to a section
> of an external file. But reading the website
> (http://sphinx-doc.org/latest/ext/ intersphinx.html), I understand
> putting this :ref: multi-label classification
> <http://scikit-learn.org/stable/modules/multiclass.html:Multilabel
> classification format>_ should work.

No. You don't want to point to a http link, you want to point to a label
that is defined in the documentation:

http://stackoverflow.com/questions/4385315/how-to-make-an-internal-hyper-link-in-sphinx-documentation