Preliminary test estimation in ULAN models

Preliminary test estimation, which is a natural procedure when it is suspected a priori that the parameter to be estimated might take value in a submodel of the model at hand, is a classical topic in estimation theory. In the present paper, we establish general results on the asymptotic behavior of preliminary test estimators. More precisely, we show that, in uniformly locally asymptotically normal (ULAN) models, a general asymptotic theory can be derived for preliminary test estimators based on estimators admitting generic Bahadur-type representations. This allows for a detailed comparison between classical estimators and preliminary test estimators in ULAN models. Our results, that, in standard linear regression models, are shown to reduce to some classical results, are also illustrated in more modern and involved setups, such as the multisample one where $m$ covariance matrices ${\pmb\Sigma}_1, \ldots, {\pmb\Sigma}_m$ are to be estimated when it is suspected that these matrices might be equal, might be proportional, or might share a common "scale". Simulation results confirm our theoretical findings.