1.Repeat 1000 times.

  2.      Generate $phi$ ( between .5 and .9) and sigma^2 (between 1.1 and 2).
  3.      Repeat 100 times:
  4.            Simulate an AR1 series with parameters $phi$ and
                $sigma^2$.
  5.      Estimate 95 % CI for these 2 parameters using dlmMLE ( from the dlm package in R)
  6.      Count the number of times that the confidence interval for each original parameter generated by the above method does NOT contain that parameter. This should be Binomial(size=100,p=.05).
  7. Accumulate these counts in a vector. This should be 1000 realizations of Binomial(100,.05).