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Consider using sphinx-codeautolink #3

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@OriolAbril

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@OriolAbril

See how arviz docs for example use it to get automatic links within the code that point to the respective API docs: https://arviz-devs.github.io/arviz/getting_started/Introduction.html. We'd need some work both here and mosly on pymc end to get it working though, see pymc-devs/pymc#5082

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