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We present a construction showing that a class of sets C that is Glivenko-Cantelli for an i.i.d. process need not be Glivenko-Cantelli for every stationary ergodic process with the same one dimensional marginal distribution. This result provides a counterpoint to recent work extending uniform strong laws to ergodic processes, and a recent characterization of universal Glivenko Cantelli classes.

A counterexample concerning the extension of uniform strong laws to ergodic processes