Manually specify AbstractMCMC exports

Author: penelopeysm

Diff for: docs/make.jl

@@ -9,6 +9,7 @@ using DocumenterInterLinks
 
 links = InterLinks(
     "DynamicPPL" => "https://turinglang.org/DynamicPPL.jl/stable/objects.inv",
+    "AbstractMCMC" => "https://turinglang.org/AbstractMCMC.jl/stable/objects.inv",
     "AbstractPPL" => "https://turinglang.org/AbstractPPL.jl/dev/objects.inv",
     "ADTypes" => "https://sciml.github.io/ADTypes.jl/stable/objects.inv",
     "AdvancedVI" => "https://turinglang.org/AdvancedVI.jl/v0.2.8/objects.inv",

Diff for: docs/src/api.md

@@ -43,9 +43,12 @@ even though [`Prior()`](@ref) is actually defined in the `Turing.Inference` modu
 
 ### Inference
 
-| Exported symbol | Documentation                                                                                    | Description         |
-|:--------------- |:------------------------------------------------------------------------------------------------ |:------------------- |
-| `sample`        | [`StatsBase.sample`](https://turinglang.org/AbstractMCMC.jl/stable/api/#Sampling-a-single-chain) | Sample from a model |
+| Exported symbol   | Documentation                                                                                     | Description                        |
+| :---------------  | :------------------------------------------------------------------------------------------------ | :-------------------               |
+| `sample`          | [`StatsBase.sample`](https://turinglang.org/AbstractMCMC.jl/stable/api/#Sampling-a-single-chain)  | Sample from a model                |
+| `MCMCThreads`     | [`AbstractMCMC.MCMCThreads`](@extref)                                                             | Run MCMC using multiple threads    |
+| `MCMCDistributed` | [`AbstractMCMC.MCMCDistributed`](@extref)                                                         | Run MCMC using multiple processes  |
+| `MCMCSerial`      | [`AbstractMCMC.MCMCSerial`](@extref)                                                              | Run MCMC using without parallelism |
 
 ### Samplers
 

Diff for: src/Turing.jl

@@ -4,7 +4,7 @@ using Reexport, ForwardDiff
 using DistributionsAD, Bijectors, StatsFuns, SpecialFunctions
 using Statistics, LinearAlgebra
 using Libtask
-@reexport using Distributions, MCMCChains, AbstractMCMC
+@reexport using Distributions, MCMCChains
 using Compat: pkgversion
 
 using AdvancedVI: AdvancedVI
@@ -15,6 +15,7 @@ using NamedArrays: NamedArrays
 using Accessors: Accessors
 using StatsAPI: StatsAPI
 using StatsBase: StatsBase
+using AbstractMCMC
 
 using Accessors: Accessors
 
@@ -136,6 +137,9 @@ export
     ADVI,
     # AbstractMCMC
     sample,
+    MCMCThreads,
+    MCMCDistributed,
+    MCMCSerial,
     # ADTypes
     AutoForwardDiff,
     AutoReverseDiff,