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As an application, the author considers rates of convergence for (nonparametric) maximum likelihood estimators for counting processes. A typical result from the paper is the following theorem: Let \\(N = \\{N_t\\}_{t \\geq 0}\\) be a counting process with compensator \\(A = \\{A_t\\}_{t \\geq 0}\\). It is assumed that \\(A\\) is continuous. Let \\(\\mathcal L\\) be a class of predictable functions with \\(g_t \\geq -L\\) for all \\(t \\geq 0\\), \\(g \\in {\\mathcal L}\\) and for some \\(0 < L < \\infty\\), and let \\(H(\\delta, b, B)\\) be the entropy of \\(\\mathcal L\\), where \\(B \\subset \\{A_T \\leq \\sigma^2_t\\}\\). There exist constants \\(C_1\\), \\(C_2\\), \\(C_3\\), \\(C_4\\), depending on \\(L\\), such that for \\(0 \\leq \\varepsilon \\leq 1\\) and  \\[ {\\varepsilon b^2 \\over C_1} \\geq \\int_{\\varepsilon b^2/(C_2 \\sigma_T) \\wedge b/8} \\sqrt {H(x,b,B)} dx \\vee b, \\]  we have  \\[ \\begin{multlined} P\\left(\\left\\{ \\left|\\int^T_0 gd(N - A)\\right |\\geq \\varepsilon b^2 \\text{ and } \\int^T_0 (e^g - 1)^2 dA \\leq 2b^2 \\text{ for some } g \\in {\\mathcal L} \\right\\} \\cap B\\right) \\leq \\\\ \\leq C_3 \\text{exp} \\left\\{-{\\varepsilon^2 b^2 \\over C_4}\\right\\}.\\end{multlined} \\] 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