Before revision:  We establish a Marcenko-Pastur type theorem for weighted sample covariance matrices, based on which we further establish a Marcenko-Pastur type theorem for RCV matrices for a class \mathcal{C \sC of diffusion processes.
After revision:  We establish a Marcenko-Pastur type theorem for weighted sample covariance matrices, based on which we further establish a Marcenko-Pastur type theorem for RCV matrices for a class \sC of diffusion processes.