Algorithm 5.

Step 1: Use Algorithm 1–Algorithm 4 to construct the confidence intervals

Step 2: If $L_{\theta }\le \theta \le U_{\theta }$, set $p=$ 1; else set $p=$ 0

Step 3: Compute $U_{\theta }-L_{\theta }$

Step 4: Repeat step 1–step 3, a total 5,000 times

Step 5: Compute mean of $p$ defined by the coverage probability

Step 6: Compute mean of $U_{\theta }-L_{\theta }$ defined by the average length