 Asymptotic conservative Wald coverage under variance-ratio convergence

Asymptotic conservative Wald coverage under variance-ratio convergence requires the realized interval scale to be large enough in probability, together with a correctly centred limiting error law. The constant-ratio result in tail assumptions needed for conservative Wald coverage follows from Slutsky's theorem. A useful stronger formulation of the coverage conclusion needs no independence between centre and scale.

Let $Z_n=({\hat{\theta }}_n-\theta )/\sqrt{V_n}$ converge in distribution to a standard normal random variable, take $R_n={\hat{V}}_n/V_n\ge 0$, and let $z={\Phi }^{-1}(1-\alpha /2)>0$. If $R_n$ converges in probability to a constant $c\ge 1$, then for each $0<ϵ<1$, $\mathrm{Pr}(R_n<1-ϵ)\to 0$. ThereforeTaking the lower limit and then $ϵ\downarrow 0$ proves limiting coverage probability at least $1-\alpha$. In fact this lower-tail condition on $R_n$ suffices without convergence to one fixed constant. An expected-value inequality does not supply it; coverage failure under random variance-ratio limits can persist when the scale retains a substantial chance of being too small.

For an original comparison, choose $c=1.21$. Under an exactly centred normal limit, a nominal 95 percent Wald confidence interval has limiting coverage $2\Phi (1.1z)-1\approx 0.96891$. But if the standardized estimator instead converges to $N(0.8,1)$, the same scale givesA ten-percent increase in standard-error radius does not automatically cover an asymptotically material bias. These values use the normal cdf/ppf definitions.^[ref]

The result is pointwise in the assumed parameter/model sequence; it does not itself prove uniform coverage over a family of models or finite-sample accuracy. NIST's uncertainty guidance likewise conditions a confidence interpretation on the distributional justification, rather than on the multiplier alone.^[ref]