Tangent measure distributions are a natural tool to describe the local geometry of arbitrary measures of any dimension. We show that for every measure on a Euclidean space and every s, at almost every point, all s-dimensional tangent measure distributions define statistically self-similar random measures. Consequently, the local geometry of general measures is not different from the local geometry of self-similar sets. We illustrate the strength of this result by showing how it can be used to improve recently proved relations between ordinary and average densities.
Answering a question by Bedford and Fisher we show that for every Radon measure on the line with positive and finite lower and upper densities the one-sided average densities always agree with one half of the circular average densities at almost every point. We infer this result from a more general formula, which involves the notion of a tangent measure distribution introduced by Bandt and Graf. This formula shows that the tangent measure distributions are Palm distributions and define self-similar random measures in the sense of U. Zähle.