We find statistically significant correlations in the cosmological matter p
ower spectrum over the full range of observable scales. While the correlati
ons between individual modes are weak, the band-averaged power spectrum sho
ws strong non-trivial correlations. The correlations are significant when t
he modes in either one or both bands are in the non-linear regime, and appr
oach 100 per cent for pairs of bands in which all the modes are non-linear.
The correlations are weaker, but not absent, when computed in redshift spa
ce. As estimates of the power spectrum from galaxy surveys require band-ave
raging, the correlations must be taken into account when comparing a measur
ed power spectrum with theoretical models.