Donsker classes of sets

Summary We study the central limit theorem (CLT) and the law of large numbers (LLN) for empirical processes indexed by a (countable) class of sets C. The main result, of purely measure-theoretical nature, relates different ways to measure the size of C. It relies on a new rearrangement inequality that has been inspired by techniques used in the local theory of Banach spaces. As an application, we give sharp necessary conditions for the CLT, that are in some sense the best possible. We also obtain a way to compute the rate of convergence in the LLN.