Jing, Bing-yi et al., Nonparametric estimate of spectral density functions of sample covariance matrices: A first step, Annals of statistics , 38(6), 2010, pp. 3724-3750
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.