Density distribution of scatter plot?

Hi everyone,

I'd like to get the different data points from each set to a single point that will consist of concentric elipses according to the density of the data points, i.e. bold colour where the density is high and fade colour where the density declines.

I was thinking on contourf function and to determine the 'z value' according to the distance from the data set average, i.e. the z will be higher close to the average. Then, contourf will be applied for each data set with 'hold on'.

Before I try to check whether it can be implemented and looks good, any other metods that might help here?

Cheers!