\documentclass{article}
\usepackage{tikz}

% split figures into pages
\usepackage[active,tightpage]{preview}
\PreviewEnvironment{tikzpicture}
\setlength\PreviewBorder{1pt}%

\begin{document}

% SET: critical region
\begin{tikzpicture}[scale=1.0]
  \draw[black,rounded corners=10,thick]
     (0,0) rectangle (4,2)
     node[above left] {data space $\Omega$};
  \draw[black,rounded corners=10,thick,shift={(0.15,0.15)}]
    (2,0) rectangle (0,1)
     node[above right] {critical region $\omega$};
\end{tikzpicture}

\end{document}