Gravitational clustering is an intrinsically non-linear process that
generates significant non-Gaussian signatures in the density field. We consider
how these affect power spectrum determinations from galaxy and weak-lensing
surveys. Non-Gaussian effects not only increase the individual error bars
compared to the Gaussian case but, most importantly, lead to non-trivial
cross-correlations between different band-powers. We calculate the
power-spectrum covariance matrix in non-linear perturbation theory (weakly
non-linear regime), in the hierarchical model (strongly non-linear regime), and
from numerical simulations in real and redshift space. We discuss the impact of
these results on parameter estimation from power spectrum measurements and
their dependence on the size of the survey and the choice of band-powers. We
show that the non-Gaussian terms in the covariance matrix become dominant for
scales smaller than the non-linear scale, depending somewhat on power
normalization. Furthermore, we find that cross-correlations mostly deteriorate
the determination of the amplitude of a rescaled power spectrum, whereas its
shape is less affected. In weak lensing surveys the projection tends to reduce
the importance of non-Gaussian effects. Even so, for background galaxies at
redshift z=1, the non-Gaussian contribution rises significantly around l=1000,
and could become comparable to the Gaussian terms depending upon the power
spectrum normalization and cosmology. The projection has another interesting
effect: the ratio between non-Gaussian and Gaussian contributions saturates and
can even decrease at small enough angular scales if the power spectrum of the
3D field falls faster than 1/k^2.Comment: 34 pages, 15 figures. Revised version, includes a clearer explanation
of why the hierarchical ansatz does not provide a good model of the
covariance matrix in the non-linear regime, and new constraints on the
amplitudes Ra and Rb for general 4-pt function configurations in the
non-linear regim