[doc] Fix broken links. (#7341)

* Fix most of the link checks from sphinx.
* Remove duplicate explicit target name.

python-package/xgboost/core.py

@@ -1792,7 +1792,7 @@ class Booster(object):
         .. note::
 
             See `Prediction
-            <https://xgboost.readthedocs.io/en/latest/tutorials/prediction.html>`_
+            <https://xgboost.readthedocs.io/en/latest/prediction.html>`_
             for issues like thread safety and a summary of outputs from this function.
 
         Parameters