Let $d$ and $N$ be two large comparable integers, for example assume $$ N,d \to \infty, \quad d/N \to \gamma \in (0,\infty). $$ Let $w_1,\dotsc,w_N$ be iid from $N(0,(1/d)I_d)$ and let $f:\mathbb R \to \mathbb R$ be such that $|f(x)| \le \exp(cx^2/2)$, for all $x \in \mathbb R$ and for some $c < 1$. Note that this implies $f \in L^2(\mathbb R,N(0,1))$. Define an $N \times ...
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