TST - Make the unit test less slow

[mathurinm]

more than 5 minutes on my machine

Longer tests are:

============================= slowest 20 durations =============================
21.93s call     skglm/tests/test_estimators.py::test_CoxEstimator[True-True]
19.72s call     skglm/tests/test_estimators.py::test_check_estimator[Lasso]
15.58s call     skglm/tests/test_datafits.py::test_cox[True]
14.25s call     skglm/tests/test_estimators.py::test_equivalence_cox_SLOPE_cox_L1[True-True]
13.78s call     skglm/tests/test_estimators.py::test_mtl_vs_sklearn[X0-True]
13.56s call     skglm/tests/test_estimators.py::test_Cox_sk_compatibility
12.12s call     skglm/experimental/tests/test_sqrt_lasso.py::test_vs_statsmodels
12.01s call     skglm/tests/test_estimators.py::test_GroupLasso_estimator[False-False]
11.72s call     skglm/tests/test_estimators.py::test_CoxEstimator_sparse[True-True]
10.88s call     skglm/tests/test_estimators.py::test_check_estimator[ElasticNet]
10.80s call     skglm/tests/test_estimators.py::test_CoxEstimator_sparse[True-False]
10.68s call     skglm/tests/test_group.py::test_equivalence_logreg[GroupProxNewton-0.1]
10.62s call     skglm/tests/test_estimators.py::test_check_estimator[MCP]
10.12s call     skglm/experimental/tests/test_quantile_regression.py::test_PDCD_WS[0.3]
8.92s call     skglm/tests/test_estimators.py::test_CoxEstimator[True-False]
8.33s call     skglm/experimental/tests/test_reweighted.py::test_decreasing_loss
7.52s call     skglm/tests/test_datafits.py::test_poisson
7.36s call     skglm/tests/test_estimators.py::test_Cox_sk_like_estimator[True-0.7]
7.22s call     skglm/tests/test_penalties.py::test_subdiff_diff_block[block_penalty3]
7.17s call     skglm/tests/test_datafits.py::test_gamma

reducing the datasize or increasing tolerance should help