Diagonal component of the three τ statistics covariances for the different methods used to estimate the covariance. Upper panel: Diagonal of the τ₀-τ₀ covariance. Middle panel: Diagonal of the τ₂-τ₂ covariance. Lower panel: Diagonal of the τ₅-τ₅ covariance. Black and grey lines correspond to the individual contribution of each term in the covariance in Eq. (18). Small scales are shot noise dominated. We observed a good agreement between the three methods, and in particular, we validated the shot noise estimate of the semi-analytical covariance obtained from TREECORR (see Section 2.5.1).