Generalized Elliptical Distributions: Theory and Applications

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Classification Accuracy as a Proxy for Two Sample Testing (2016, methodology): “The idea of using binary classifiers for two-sample testing was conceptualized by Friedman (2004). However, Friedman’s proposal was fundamentally different from the one proposed here: he suggested using training a classifier on all points, and using that classifier to assign a score to each point.”
Estimating the tail-dependence coefficient: Properties and pitfalls (2005, methodology): “Alternatively, one can apply Tyler’s M-estimator for the covariance matrix, which is completely robust within the class of elliptical distributions; see Tyler (1987) or Frahm (2004).”