We present a graph-based technique for estimating sparse covariance matrices and their inverses from high-dimensional data. The method is based on learning a directed acyclic graph (DAG) and estimating parameters of a multivariate Gaussian distribution based on a DAG. For inferring the underlying DAG we use the PC-algorithm  and for estimating the DAG-based covariance matrix and its inverse, we use a Cholesky decomposition approach which provides a positive (semi-)definite sparse estimate. We present a consistency result in the high-dimensional framework and we compare our method with the Glasso [12, 8, 2] for simulated and real data.
"High dimensional sparse covariance estimation via directed acyclic graphs." Electron. J. Statist. 3 1133 - 1160, 2009. https://doi.org/10.1214/09-EJS534