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.