This work investigates the impact of imperfect statistical information in the uplink of massive MIMO systems. In particular, we first show why covariance information is needed and then propose two schemes for covariance matrix estimation. A lower bound on the spectral efficiency (SE) of any combining scheme is derived, under imperfect covariance knowledge, and a closed-form expression is computed for maximum-ratio combining. We show that having covariance information is not critical, but that it is relatively easy to acquire it and to achieve SE close to the ideal case of having perfect statistical information.