There is a far reaching generalization by Vapnik and Chervonenkis. See theorem 1 on page 828 (chapter 26) in Shorack and Wellner's 1986 book on empirical processes. For the multivariate case dealing driectly with Euclidean spaces $\mathbb{R}^d$, you would be particularly interested to check examples 1-5 on pages 833-834 of the same book.