We describe a method to determine the eigenvalue density of empirical
covariance matrix in the presence of correlations between samples. This is a
straightforward generalization of the method developed earlier by the authors
for uncorrelated samples. The method allows for exact determination of the
experimental spectrum for a given covariance matrix and given correlations
between samples in the limit of large N and N/T=r=const with N being the number
of degrees of freedom and T being the number of samples. We discuss the effect
of correlations on several examples.Comment: 12 pages, 5 figures, to appear in Acta Phys. Pol. B (Proceedings of
the conference on `Applications of Random Matrix Theory to Economy and Other
Complex Systems', May 25-28, 2005, Cracow, Polan
