If $\Theta \in \mathbb{R}^d$ compact, $\rho(x,\theta): \mathbb{R}^p\times\Theta\rightarrow\mathbb{R}^+$ continuous in $\theta \in \Theta$ for all $x$, then $B=\{\rho(x,\theta), \theta \in \Theta\}=\{\rho_\theta(x), \theta \in \Theta\}$.
The excercise I am reading refers to $B$ as a "bracket," however I haven't able to find much more about it, probably because of the generic name. It is used in this exercise in relation to the law of large numbers.