I have a sample of a stochastic process (blue) for which I have developed point estimates for each time step (red). I have then proceeded to bootstrap 95% confidence intervals for the point estimates (black), which is shown in the figure. Now as you can see, the CI doesn't always include the true value of the process. How do I interpret this?
Does this mean that my way of finding the CI might be faulty? Or is this a result that can be expected from working with real data?