Local install of powershell instead of https://shell.azure.com?

I am trying to use Powershell to create VMs on Azure because I cannot find the necessary functionality on the portal (or get it to work).

Is it possible to administrate Azure using a local instance of powershell rather than the online version?

If so how do you install the relevant cmdlets?
For example how do I install New-AzVm?

I am running RedHat linux and have (somewhat reluctantly) installed pwsh via the instructions here.