Distribution of eigenvalues of sample covariance matrices with tensor product samples

We consider the $n^2\times n^2$ real symmetric and hermitian matrices $M_n$, which are equal to the sum $m_n$ of tensor products of the vectors $X^\mu=B(Y^\mu\otimes Y^\mu)$, $\mu=1,\dots,m_n$, where $Y^\mu$ are i.i.d. random vectors from $\mathbb{R}^n(\mathbb{C}^n)$ with zero mean and unit variance of components, and $B$ is an $n^2\times n^2$ positive definite non-random matrix. We prove that if $m_n/n^2\to c\in[0,+\infty)$ and the Normalized Counting Measure of eigenvalues of $BJB$, where $J$ is defined below in (2.6), converges weakly, then the Normalized Counting Measure of eigenvalues of $M_n$ converges weakly in probability to a non-random limit, and its Stieltjes transform can be found from a certain functional equation.