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

## Coverage probabilities.
CP = NULL

## Loop over the sample sizes.
for (k in 1:length(N))
{
  n = N[k]
  X = array(rnorm(n*1e4), c(1e4,n))
 
  ## Construct the CI.
  M = apply(X, 1, mean)
  C = 1.96/sqrt(n)

  ## Determine which intervals cover.
  ci = ((M-C < 0) & (M+C > 0))

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