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Description
Describe the issue linked to the documentation
By fitting a LinearRegression the n_jobs parameter can set the number of threads only in case of positive=True or in case of sp.issparse(X). In other cases the linalg.lstsq is called which can handle (M, K) shaped y and there is no parameter like n_jobs in this call.
So as i understand in the most of the usecases n_jobs will not affect the fitting. However i cant find this in documentation.
Suggest a potential alternative/fix
I think this fact should be added to the docs. What do you think?