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Aug 6 at 0:59 history edited Drew Brady CC BY-SA 4.0
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Aug 5 at 23:29 comment added Drew Brady Perhaps a way to restate what you are saying is that (say by dominated convergence), $$ R_n^\star = \mathbb{E} \Big[\frac{a_n g_n^2}{\sum_{m=1}^\infty a_m g_m^2}\Big],$$ where the expectation is taken over the sequence $\{g_m\}_{m \geq 1}$ of iid standard Normals.
Aug 5 at 23:20 comment added fedja Yes. The expectation of that will be the limit of your expectation as $k\to\infty$.
Aug 5 at 22:21 comment added fedja In the limit you consider, the coordinates become iid centered Gaussians.
Aug 5 at 22:00 history asked Drew Brady CC BY-SA 4.0