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Introduce GramMatrixPolynomial
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test/test_gram.jl

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using ClassicalOrthogonalPolynomials, FastTransforms
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P = Legendre()
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x = axes(P,1)
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w = @.(1-x^2)
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μ = P'w
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X = jacobimatrix(P)
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n = 20
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@test GramMatrix(μ[1:2n], X[1:2n,1:2n]) (P' * (w .* P))[1:n,1:n]

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