Justification and Extension of Doob's Heuristic Approach to the Kolmogorov- Smirnov Theorems

Doob [1] has given heuristically an appealing methodology for deriving asymptotic theorems on the difference between the empirical distribution function calculated from a sample and the actual distribution function of the population being sampled. In particular he has applied these methods to deriving the well known theorems of Kolmogorov [2] and Smirnov [3]. In this paper we give a justification of Doob's approach to these theorems and show that the method can be extended to a wide class of such asymptotic theorems.