Meta densities and the shape of their sample clouds

This paper compares the shape of the level sets for two multivariate densities. The densities are positive and continuous, and have the same dependence structure. The density f is heavy-tailed. It decreases at the same rate – up to a positive constant – along all rays. The level sets {f > c} for c ↓ 0 have a limit shape, a bounded convex set. We transform each of the coordinates to obtain a new density g with Gaussian marginals. We shall also consider densities g with Laplace, or symmetric Weibull marginal densities. It will be shown that the level sets of the new light-tailed density g also have a limit shape, a bounded star-shaped set. The boundary of this set may be written down explicitly as the solution of a simple equation depending on two positive parameters. The limit shape is of interest in the study of extremes and in risk theory since it determines how the maximal observations in different directions relate. Although the densities f and g have the same copula – by construction –, the shapes of the level sets are not related. Knowledge about the limit shape of the level sets for one density does not give any information about the limit shape for the other density.