are taking B$_{0}$ = 0 , the estimate of the mean squared error (MSE) is given by It must be recalled that the distributions of robust estimates under contami- nation are themselves heavy-tailed, and it is therefore prudent to evaluate their performance through robust measures (see [11] Sec. 1.4, p. 12, and [10] p.75). For this reason, we employed both MSE, and trimmed mean squared error (TMSE), which compute the 10% (upper) trimmed average of The results given below correspond to this MSE, although the TMSE yields qual- itatively similar results (in the uncontaminated case the results are the same). For each case, four estimates are computed: the MLE, an S-estimate, a τ -estimate and an MM-estimate. For the MLM, the S-estimates are defined by subject to where s is an M-estimate of scale. 18 8.2 Description of the estimators MSE = 1 1000 ( 1000 ∑ k =1 p ∑ i =1 q ∑ j =1 ( ˜ B ( k ) ij ) 2 ) . { p ∑ i =1 q ∑ j =1 ( ˜ B ( k ) ij ) 2 } 1000 k =1 . ( ̂ B , ̂ Σ ) = arg min {| Σ | : ( B , Σ ) ∈ R p × q × S q } s $^{2}$( d$_{1}$ ( B , Σ ) , . . . , d$_{n}$ ( B , Σ )) = q,