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More precisely, \\(Y_t=\\sum_{i=0}^\\infty b_i\\zeta_{t-i}\\) is a moving average process in independent and identically distributed random variables \\(\\zeta_i,i\\in Z\\), with mean zero and variance one and with hyperbolically decaying coefficients \\(b_i\\sim c_0i^{d-1}\\) for some \\(d\\in(0,1/2)\\) and \\(c_0\\not=0\\). The short memory process \\(V_t\\) is a Bernoulli shift \\(V_t=V(\\zeta_t,\\zeta_{t-1},\\dots)\\) where \\(V(z_0,z_1,\\dots)\\) is a Borel function defined on \\(R^{Z_+}\\) with \\(Z_+=\\{0,1,\\dots\\}\\) which satisfies  \\[  E^{1/2}[V(\\zeta_0,\\dots,\\zeta_{-n},0,0,\\dots)- V(\\zeta_0,\\dots,\\zeta_{-n+1},0,0,\\dots)]^2\\leq Cn^{-\\rho}  \\]  for some finite constant \\(C\\) and \\(\\rho>\\max\\{24-22d,13-11d+3(1-2d)/(4d)\\}\\). For every integer \\(N\\geq1\\), set \\(\\overline{Y}_N=N^{-1}\\sum_{t=1}^NY_t\\) and \\(\\widehat{F}_N(x)=N^{-1}\\sum_{t=1}^NI(X_t\\leq x),x\\in R\\). Let \\(F\\) denote the marginal distribution function of \\(X_0\\) and \\(f\\) its desity. Under mild assumptions on the distribution of \\(\\zeta_0\\) it is shown that \\(\\sup_{x\\in R}N^{1/2-d}| \\widehat{F}_N(x)-F(x)+f(x)\\overline{Y}_N| =o_p(1)\\). As a consequence, the processes \\(N^{1/2-d}(\\widehat{F}_N-F)\\) converge in distribution in the Skorokhod space \\(D[-\\infty,\\infty]\\) to the degenerate process \\(\\widetilde{c}fZ\\), where \\(\\widetilde{c}=(c_0^2B(d,2-2d)/ d(1+2d))^{1/2}\\), with \\(B\\) being the beta function, and where \\(Z\\) is a standard normal random variable. 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