Convert PosteriorDB reference posteriors to MCMCChains

[penelopeysm]

It would be nice to have a convenience function to construct MCMCChains.Chains object from a reference posterior https://sethaxen.github.io/PosteriorDB.jl/stable/

[penelopeysm]

Technically they are loaded as just dicts, so it doesn't need to be a PosteriorDB object per se so something like this works. Would still be nice to have a method though imo

using PosteriorDB, MCMCChains

pdb = PosteriorDB.database()
post = PosteriorDB.posterior(pdb, "eight_schools-eight_schools_centered")
ref = PosteriorDB.reference_posterior(post)
ref_post = PosteriorDB.load(ref)

param_names = sort(collect(keys(ref_post[1])))
n_iterations = length(ref_post[1][param_names[1]])
n_chains = length(ref_post)
vals = zeros(Float64, n_iterations, length(param_names), n_chains)

for (n_chain, dict) in enumerate(ref_post)
    for (n_param, p) in enumerate(param_names)
        vals[:, n_param, n_chain] = dict[p]
    end
end

Chains(vals, param_names)