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...olmogorov and Smirnov). An alternative way how to prove (11) is to employ Skorohod embedding (see Breiman [4] or Štěpán [31] for the method and e. g. Portnoy [25], Jurečková, Sen [19] or Vı́̌sek =-=[42]-=- for examples of employing this technique). Lemma 2 Under Conditions C1 there isK < ∞ so that for any pair β(1), β(2) ∈ Rp we have sup r∈R ∣∣Fβ(1)(r)− Fβ(2)(r)∣∣ ≤ K · ∥∥∥β(1) − β(2)∥∥∥ . Proof: We ha...