Past exam of the probability, statistics and options I course of the University of Oxford / 2011 / P / 2 / a / Solution

Set $x=\cos \theta$ with $0\le \theta \le \pi$. The cosine addition identity giveshence $T_0=1$, $T_1=x$, and $T_{n+1}=2x{T}_n-T_{n-1}$. By mathematical induction, $T_n$ is a polynomial of degree $n$: the initial cases hold, and the leading term of $2x{T}_n$ has degree $n+1$ while the subtraction has lower degree. Its leading coefficient is $2^{n-1}$ for $n\ge 1$.

The same change of variables gives the weighted integral