I'm not really sure how to define 'asymptotic coverage probability'
2026-02-24 02:27:29.1771900049
What does it mean to say that a certain interval has an asymptotic coverage probability of 95%?
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In the limit of large data, $95\%$ of all cases will fall within the interval.
Think of a binomial distribution. With just a few points, you might get errant few points outside the interval, greater than $5\%$. But when you have some large number of points (e.g., $10^9$ points), then a version of the law of large numbers states $95\%$ (or whatever) will lie in the relevant interval.