REF: stats: refactor unuran wrapper to address memory leaks

The previous wrapper had memory leaks due to non-local returns.
This PR eliminates the problem by using the `MessageStream` API
(originally used in Qhull to handle errors occurring in `qhull`
C API).

UNU.RAN uses a global `FILE *` stream which makes it thread-unsafe
to use those streams without first acquiring a lock. To expound on
the problem, we have to call `unur_set_stream` under a lock otherwise
some other thread could change the global `FILE *` variable and all
the errors will be redirected to that wrong file.

Moreover, as non-local jumps are not allowed, `PyErr_Occurred` is
used to catch errors inside callbacks once the UNU.RAN function has
been executed.

doc/source/tutorial/stats/sampling.rst

@@ -12,7 +12,7 @@ continuous and discrete distributions. Implementations of a fast C library
 called `UNU.RAN <http://statmath.wu.ac.at/software/unuran/>`__ are used
 for speed and performance. Please look at
 `UNU.RAN's documentation <http://statmath.wu.ac.at/software/unuran/doc/unuran.html>`__
-for an in-depth explanation of these methods. It is heavily referred
+for an in-depth explanation of these methods. It is heavily referred to
 for writing this tutorial and the documentation of all the generators.
 
 
@@ -81,7 +81,7 @@ parameter with a NumPy BitGenerator as the uniform random number generator.
 
 .. warning:: Use of NumPy < 1.19.0 is discouraged as it doesn't have a fast
              Cython API for generating uniform random numbers and might be
-             too slow to practically rely on.
+             too slow for practical use.
 
 All the generators have a common ``rvs`` method that can be used to draw
 samples from the given distribution.

scipy/stats/_unuran/__init__.py

@@ -1,4 +1,5 @@
 from .unuran_wrapper import (
     TransformedDensityRejection,
-    DiscreteAliasUrn
+    DiscreteAliasUrn,
+    UNURANError
 )

scipy/stats/_unuran/unuran.pxd

@@ -1,5 +1,7 @@
 # File automatically generated using autopxd2
 
+from libc.stdio cimport FILE
+
 cdef extern from "unuran.h" nogil:
 
     cdef struct unur_distr
@@ -1227,6 +1229,10 @@ cdef extern from "unuran.h" nogil:
 
     UNUR_DISTR* unur_distr_zipf(double* params, int n_params)
 
+    FILE* unur_set_stream(FILE* new_stream)
+
+    FILE* unur_get_stream()
+
     int unur_set_debug(UNUR_PAR* parameters, unsigned debug)
 
     int unur_chg_debug(UNUR_GEN* generator, unsigned debug)