Geodesic
On construction of confidence intervals for a mean of dependent data
Discussiones Mathematicae. Probability and Statistics, Tome 21 (2001) no. 2, pp. 121-147

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In the report, the performance of several methods of constructing confidence intervals for a mean of stationary sequence is investigated using extensive simulation study. The studied approaches are sample reuse block methods which do not resort to bootstrap. It turns out that the performance of some known methods strongly depends on a model under consideration and on whether a two-sided or one-sided interval is used. Among the methods studied, the block method based on weak convergence result by Wu (2001) seems to perform most stably.
Keywords: confidence intervals, short-range dependence, reuse block methods, normal approximation, iterated random function sequence 
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Ćwik, Jan; Mielniczuk, Jan. On construction of confidence intervals for a mean of dependent data. Discussiones Mathematicae. Probability and Statistics, Tome 21 (2001) no. 2, pp. 121-147. http://geodesic.mathdoc.fr/item/DMPS_2001_21_2_a4/