Optimal level sets for bivariate density representation

In bivariate density representation there is an extensive literature on level set estimation when the level is fixed, but this is not so much the case when choosing which level is (or which levels are) of most interest. This is an important practical question which depends on the kind of problem one has to deal with as well as the kind of feature one wishes to highlight in the density, the answer to which requires both the definition of what the optimal level is and the construction of a method for finding it. We consider two scenarios for this problem. The first one corresponds to situations in which one has just a single density function to be represented. However, as a result of the technical progress in data collecting, problems are emerging in which one has to deal with a sample of densities. In these situations, the need arises to develop joint representation for all these densities, and this is the second scenario considered in this paper. For each case, we provide consistency results for the estimated levels and present wide Monte Carlo simulated experiments illustrating the interest and feasibility of the proposed method.