  In this paper we first provide a method to compute confidence intervals for
the center of a piecewise normal distribution given a sample from this
distribution, under certain assumptions. We then extend this method to an
asymptotic setting, and apply this method to compute confidence intervals for
the true solution of a stochastic variational inequality based on a solution to
a sample average approximation problem. The confidence intervals are computed
with simple formulas. Performance of the proposed method is tested with
numerical experiments.
