Geodesic
Limit theorems for spectra of positive random matrices under dependence
Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 7, Tome 311 (2004), pp. 92-123 Cet article a éte moissonné depuis la source Math-Net.Ru

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We study classical ensembles of sample covariance matrices introduced by Wishart. We discuss Stein's method for the asymptotic approximation of expectations of functions of the normalized eigenvalue counting measure of high dimensional matrices. The method is based on a differential equation for the density of the Marchenko–Pastur law. 
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F. Götze; A. N. Tikhomirov. Limit theorems for spectra of positive random matrices under dependence. Zapiski Nauchnykh Seminarov POMI, Probability and statistics. Part 7, Tome 311 (2004), pp. 92-123. http://geodesic.mathdoc.fr/item/ZNSL_2004_311_a4/

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