## Sample sizes
N = c(10,30,50,70,90,110,130)

## Coverage probabilities for each sample size.
CP = array(0, length(N))

for (k in 1:length(N))
{
  n = N[k]
  X = array(rexp(n*1000), c(1000,n))
 
  ## Construct the CI.
  M = apply(X, 1, mean)
  MX = apply(X, 1, max)
  MN = apply(X, 1, min)
  C = (MX - MN)/(2*sqrt(n))

  ## Determine which intervals cover EX=1.
  ci = ((M-C < 1) & (M+C > 1))

  ## Calculate the proportion of intervals that cover.
  CP[k] = mean(ci)
}