Estimating covariance matrices is a problem of fundamental importance in multivariate statistics. In practice it is increasingly frequent to work with data matrices $X$ of dimension $n\times p$, where $p$ and $n$ are both large. Results from random matrix theory show very clearly that in this setting, standard estimators like the sample covariance matrix perform in general very poorly.

In this ``large $n$, large $p$" setting, it is sometime the case that practitioners are willing to assume that many elements of the population covariance matrix are equal to 0, and hence this matrix is sparse. We develop an estimator to handle this situation. The estimator is shown to be consistent in operator norm, when $p/n\tendsto l\neq 0$, where $l$ is generally finite, as $p\tendsto \infty$. In other words the largest eigenvalue of the difference between the estimator and the population covariance matrix goes to zero. This implies consistency of all the eigenvalues and consistency of eigenspaces associated to isolated eigenvalues.

We also propose a notion of sparsity for matrices that is ``compatible" with spectral analysis and is independent of the ordering of the variables.