Interface with AbstractMCMC.jl

[xukai92]

Example code of how the interface is supported in EllipticalSliceSampling.jl: https://github.com/TuringLang/EllipticalSliceSampling.jl/blob/master/src/abstractmcmc.jl

Support would also solve #184 and #101

[yebai]

Fixed by #259