Distribution of the estimated variance on cosmological parameters ω_b, ω_cdm, h, and m_ν (from left to right) obtained for each of the 100 evaluations of the covariance matrix (N_m = 45) when considering the standard estimator S45 (blue histogram) or NERCOMEN45 (orange histogram). The vertical black line shows the variance estimated with the true covariance matrix. The dashed black curve represents a Gaussian distribution centred on the true variance (solid black line) and which dispersion is given by Taylor et al. (2013) (c.f. Eq. (10)), that is, the reason why it extends to negative values which is of course mathematically impossible.