Mean-square completion of trigonometric polynomials ($H_M$)

Start with finite real linear combinations of $1$, $\cos (\lambda x)$ and $\sin (\lambda x)$ with arbitrary positive real frequencies, and use the inner product $⟨f,g{⟩}_M={\lim }_{R\to \infty }{R}^{-1}{\int }_{-R}^{R}fg$. Product-to-sum identities give existence of these averages and mutual orthogonality of distinct frequencies. The squared norm is $2a_0^2+{\sum }_{\lambda }(a_{\lambda }^2+b_{\lambda }^2)$. Its Hilbert space completion contains an uncountable orthonormal set, so is not a separable Hilbert space. This construction does not equip all locally square-integrable functions with an inner product: compactly supported nonzero functions have zero mean square, and other functions have divergent or nonexistent averages.