Given a probability law P on d-dimensional Euclidean space, the minimum volume set (MV-set) with mass beta , 0 < beta < 1, is the set with smallest volume enclosing a probability mass of at least beta. We examine the use of support vector machines (SVMs) for estimating an MV-set from a collection of data points drawn from P, a problem with applications in clustering and anomaly detection. We investigate both one-class and two-class methods. The two-class approach reduces the problem to Neyman-Pearson (NP) classification, where we artificially generate a second class of data points according to a uniform distribution. The simple approach to generating the uniform data suffers from the curse of dimensionality. In this paper we (1) describe the reduction of MV-set estimation to NP classification, (2) devise improved methods for generating artificial uniform data for the two-class approach, (3) advocate a new performance measure for systematic comparison of MV-set algorithms, and (4) establish a set of benchmark experiments to serve as a point of reference for future MV-set algorithms. We find that, in general, the two-class method performs more reliably.