Project Euclid

In this paper we provide a general framework for the study of the central limit theorem (CLT) for empirical processes indexed by uniformly bounded families of functions $\mathscr{F}$. From this we obtain essentially all known results for the CLT in this case; we improve Dudley's (1982) theorem on entropy with bracketing and Kolcinskii's (1981) CLT under random entropy conditions. One of our main results is that a combinatorial condition together with the existence of the limiting Gaussian process are necessary and sufficient for the CLT for a class of sets (modulo a measurability condition). The case of unbounded $\mathscr{F}$ is also considered; a general CLT as well as necessary and sufficient conditions for the law of large numbers are obtained in this case. The results for empiricals also yield some new CLT's in $C\lbrack 0, 1\rbrack$ and $D\lbrack 0, 1\rbrack$.