Before revision:  We show that in this setting, parametric EBCIs based on the assumption that the means are normally distributed (Morris, 1983) can have coverage substantially below the nominal level when the normality assumption is violated, and we derive a simple rule of thumb for gauging the potential coverage distortion.
After revision:  We show that in this setting, parametric EBCIs based on the assumption that the means are normally distributed (Morris, 1983) may substantially undercover when this assumption is violated, and we derive a simple rule of thumb for gauging the potential coverage distortion.