Given a vector
random_ortho will generate a list
ortho_list such that
ortho_list[[i]] is a matrix with row and
p[[i]] and is drawn from the uniform (Haar)
distribution over the space of orthogonal matrices.
A vector of dimensions for the matrices.
This function is primarily used by
multiway_takemura in its
averaging over uniformly minimum risk equivariant estimators under rotations
of the data array.
ortho_list A list of orthogonal matrices whose dimensions are
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