Nonparametric estimate of spectral density functions of sample   covariance matrices: A first step
  The density function of the limiting spectral distribution of general sample covariance matrices is usually unknown. We propose to use kernel estimators which are proved to be consistent. A simulation study is also conducted to show the performance of the estimators. 
Bing-Yi Jing, Guangming Pan, Qi-Man Shao, Wang Zhou
math.ST stat.TH