Normalised distributions of the residual of the covariance matrices normalised by Gaussian error (the σ-deviation distribution, see Fig. 11) for the multipoles of the power spectrum at z = 0 in blue. Its Gaussian fit (on the two first moments) is represented in black and is compared to the standardised normal distribution in orange. Upper panels presents the distributions in real space for the two cosmologies, while the bottom panels give the results in the redshift space, for the 16nu cosmology only. In these panels, the maximal Fourier mode is set to k_max = 0.25h Mpc⁻¹.