Donsker classes

A class of functions is considered a Donsker class if it satisfies Donsker's theorem, a functional generalization of the central limit theorem.

Definition
A class of functions $$ \mathcal{F} $$ is called a Donsker class if the empirical process indexed by $$ \mathcal{F} $$, $$ \{\mathbb{G}_n(f): f \in \mathcal{F}\} $$, converges in distribution to a Gaussian process in the space $$ l^{\infty}(\mathcal{F}) $$. This means that for every finite set of functions $$ f_1, f_2, \dots, f_k \in \mathcal{F} $$ and each $$ n $$, the random vector $$ (\mathbb{G}_n(f_1), \mathbb{G}_n(f_2), \dots, \mathbb{G}_n(f_k)) $$ converges in distribution to a multivariate normal vector as $$ n \rightarrow \infty $$.

The empirical process $$ \mathbb{G}_n(f) $$ is defined by

where $$ \mathbb{P}_n $$ is the empirical measure based on an iid sample $$ X_1, \dots, X_n $$ and $$ P $$ is the probability measure from which the sample is drawn.

Examples and Sufficient Conditions
Classes of functions which have finite Dudley's entropy integral are Donsker classes. This includes empirical distribution functions formed from the class of functions defined by $$\mathbb I_{(-\infty, t]}$$ as well as parametric classes over bounded parameter spaces. More generally any VC class is also Donsker class.

Properties
Classes of functions formed by taking infima or suprema of functions in a Donsker class also form a Donsker class.

Donsker's Theorem
Donsker's theorem states that the empirical distribution function, when properly normalized, converges weakly to a Brownian bridge—a continuous Gaussian process. This is significant as it assures that results analogous to the central limit theorem hold for empirical processes, thereby enabling asymptotic inference for a wide range of statistical applications.

The concept of the Donsker class is influential in the field of asymptotic statistics. Knowing whether a function class is a Donsker class helps in understanding the limiting distribution of empirical processes, which in turn facilitates the construction of confidence bands for function estimators and hypothesis testing.