“Starting with SQL Server 2016, sampling of data to build statistics is done in parallel, when using compatibility level 130, to improve the performance of statistics collection. The query optimiser will use parallel sample statistics whenever a table size exceeds a certain threshold.”
As per the previous demos, prior to SQL Server 2016, the gathering of sampled statistics are serial, single-threaded operations. Only statistic operations gathered using a full scan would qualify for parallelism. Now in SQL Server 2016, all automatic and manual statistic operations qualify for parallelism.
He also has a neat trick for invalidating stats on a large table, so check out this article-length blog post.