Now I'm going to do some hand waving. Rigorous justification is possible but lengthy.
If the hamiltonian was of the form \hat H ={1\over 2m}\hat p^2 + V(\hat x), and we were interested in a "short" time \tau, we could use the Campbell-Baker-Hausdorf formula to write
e^{-i\hat H\tau/\hbar} = e^{-i\hat p^2\tau/2m\hbar} \,e^{-iV(\hat x)\tau/\hbar}\,e^{O(\tau^2)}[/itex]<br />
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Then we could insert a complete set of momentum eigenstates to get<br />
<br />
\langle x|e^{-i\hat H\tau/\hbar}|x\rangle \approx \int d^dp\,\langle x|e^{-i\hat p^2\tau/2m\hbar}|p\rangle\langle p|e^{-iV(\hat x)\tau/\hbar}|x\rangle[/itex]<br />
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Now I can remove the hats from the operators \hat p and \hat x, because they are acting on their eigenstates, and pull these factors out front, since they are now just numbers. So we now have<br />
<br />
\langle x|e^{-i\hat H\tau/\hbar}|x\rangle \approx \int d^dp\,e^{-i(p^2/2m+V(x))\tau/\hbar}\langle x|p\rangle\langle p|x\rangle[/itex]&lt;br /&gt;
&lt;br /&gt;
Now I use \langle x|p\rangle=\langle p|x\rangle^*=e^{ipx/\hbar}/(2\pi\hbar)^{d/2}, and we have&lt;br /&gt;
&lt;br /&gt;
\langle x|e^{-i\hat H\tau/\hbar}|x\rangle \approx \int {d^dp\over\,(2\pi\hbar)^d}\,e^{-iH(p,x)\tau/\hbar}&lt;br /&gt;
&lt;br /&gt;
Plugging this into our last formula for the density of states, we get&lt;br /&gt;
&lt;br /&gt;
\rho(E) \approx \int_{-\infty}^{+\infty}{d\tau\over2\pi\hbar}\int{d^dp\,d^dx\over(2\pi\hbar)^d}\,e^{iE\tau/\hbar}\,e^{-iH(p,x)\tau/\hbar}&lt;br /&gt;
&lt;br /&gt;
Now carry out the integral over \tau to get&lt;br /&gt;
&lt;br /&gt;
\rho(E) \approx \int{d^dp\,d^dx\over(2\pi\hbar)^d}\,\delta&amp;lt;br /&amp;gt;
\bigl(E-H(p,x)\bigr)&lt;br /&gt;
&lt;br /&gt;
Ta da!&lt;br /&gt;
&lt;br /&gt;
Of course, I cheated, because I used a small-\tau approximation, then integrated over all \tau. Look up the &amp;quot;Gutzwiller trace formula&amp;quot; to see how corrections to this result (which is sometimes called the &amp;quot;Weyl formula&amp;quot;) are computed.