Past exam of the random matrix theory course of the University of Oxford / 2025 / 2 / b / ii / Solution

The squared norm of $p_{\ell }(x)e^{-x^2/4}$ in $L^2(\mathbb{R},dx)$ is $\sqrt{2\pi }{h}_{\ell }$, where $(h_0,h_1,h_2)=(1,1,2)$. Choose positive normalizing constantsThen ${\varphi }_0,{\varphi }_1,{\varphi }_2$ are an orthonormal set for Lebesgue measure. Expanding the finite sums givesThus this is an orthogonal polynomial projection kernel, explicitlyThe positive constants above are forced by the reproducing identity: before normalization, its convolution multiplies each independent term ${\varphi }_{\ell }(x){\varphi }_{\ell }(z)$ by $\sqrt{2\pi }{h}_{\ell }/{\kappa }_{\ell }^2$. Each multiplier must equal one. Changing the sign of a real ${\kappa }_{\ell }$ leaves the kernel unchanged.