ENH: Add link checker GHA workflow file

Add link checker GHA workflow file: use the `lychee` action to check for
broken links in Markdown, HTML, reStructuredText, and other files.

Repository: https://github.com/lycheeverse/lychee-action
Documentation: https://lychee.cli.rs/introduction/

Author: jhlegarreta

.github/workflows/linkcheck.yml

@@ -0,0 +1,19 @@
+name: Check links
+
+on: [push, pull_request]
+
+concurrency:
+  group: ${{ github.workflow }}-${{ github.ref }}
+  cancel-in-progress: true
+
+jobs:
+  linkcheck:
+    runs-on: ubuntu-latest
+
+    steps:
+      - uses: actions/checkout@v4
+      - name: Check links
+        id: lychee
+        uses: lycheeverse/lychee-action@v2
+        with:
+          fail: true