Generate random PSD correlation matrices.
An integer that determines the order of the random correlation matrix.
rcor generates random PSD correlation matrices by (1) generating Nvar squared random normal deviates, (2) scaling the deviates to sum to Nvar, and then (3) placing the scaled values into a diagonal matrix L. Next, (4) an Nvar x Nvar orthogonal matrix, Q, is created by performing a QR decomposition of a matrix, M, that contains random normal deviates. (5) A PSD covariance matrix, C, is created from Q L Q^T and then (6) scaled to a correlation metric.
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