Improve support for `dims` in `LKJCholeskyCov` #2724

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Job	Run time
Check for changes	23s
external_samplers (ubuntu-20.04, float64, 3.10, tests/sampling/test_jax.py tests/sampling/test_mc...	13m 32s
macos (macos-latest, float64, 3.9, tests/sampling/test_parallel.py tests/test_data.py tests/varia...	24m 41s
macos (macos-latest, float64, 3.9, tests/sampling/test_mcmc.py )	25m 38s
macos (macos-latest, float64, 3.9, tests/backends/test_arviz.py tests/variational/test_updates.py )	19m 54s
windows (windows-latest, float64, 3.8, tests/variational/test_approximations.py tests/variational...	9m 29s
windows (windows-latest, float64, 3.8, tests/test_model.py tests/sampling/test_mcmc.py)	11m 6s
windows (windows-latest, float64, 3.8, tests/gp/test_cov.py tests/gp/test_gp.py tests/gp/test_mea...	7m 36s
windows (windows-latest, float64, 3.8, tests/step_methods/test_metropolis.py tests/step_methods/t...	9m 45s
ubuntu (ubuntu-20.04, float64, 3.11, tests/test_util.py tests/test_pytensorf.py tests/test_math.p...	29m 52s
ubuntu (ubuntu-20.04, float64, 3.11, tests/distributions/test_continuous.py tests/distributions/t...	27m 8s
ubuntu (ubuntu-20.04, float64, 3.11, tests/distributions/test_bound.py tests/distributions/test_c...	20m 26s
ubuntu (ubuntu-20.04, float64, 3.11, tests/tuning/test_scaling.py tests/tuning/test_starting.py t...	18m 14s
ubuntu (ubuntu-20.04, float64, 3.11, tests/distributions/test_timeseries.py tests/gp/test_cov.py ...	33m 22s
ubuntu (ubuntu-20.04, float64, 3.11, tests/backends/test_mcbackend.py tests/distributions/test_tr...	19m 17s
float32 (windows-latest, float32, 3.11, tests/sampling/test_mcmc.py tests/ode/test_ode.py tests/o...	30m 15s
all_tests	1s
	5h 0m 39s