Estimated pointwise coverage probabilities of 95% confidence intervals for β(v) constructed using the AUG estimator based on 500 simulations for n = 500, b1 = 0.1 and h = b2 = 0.15; (a) for model (M1), (b) for model (M2), (c) for model (M3) and (d) for model (M4). AUG-A0 is the AUG estimator corresponding to ρ = 0, AUG-A1 for ρ ≈ 0.78, AUG-A2 for ρ ≈ 0.92 and AUG-A3 for ρ ≈ 0.98, where ρ is the correlation coefficient between Aki and Vki.