The confidence intervals of coverage relative frequencies at confidence level α = 0.95, red ones based on SN model and blue ones based on normal model with sample size (n₁, n₂) = (20, 25), (40, 50), (80, 100) and (200, 250) (from left to right in each figure), ρ = 0.2, 0.5 and 0.8 (in each row), and D₁ and D₂ (from left to right), respectively