In #27090, we make changes in our tests to check that our estimators are compatible with sparse arrays. However, it does not intend to write common tests through new checks available in estimator_checks.py.

We should implement new checks that are testing the same as the sparse matrix tests to ensure that third-party library will be compatible with such arrays. However, we want to be extra-nice: we should also create a new tag, e.g. X_types: {..., "sparse_arrays", "sparse matrix"} and run the tests only when the types is explicitly supported.

The documentation states that we are not currently using the "sparse" key, so we should be able to introduce new keys without any regression.