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Make plots with GNUplot. Have anyone tried that?

The gp.plot function has a type option that can either be 'p' for points
or 'l' for lines, the function is not that complicated, you could easily
add additional options.

I don't know why your code is not creating the pdf file, you could try
plotting to the screen first (don't change the output and terminal),
make sure that the plot is there, then change the output and terminal
and do a replot to see if that works.

Given that, I agree with the others that gnuplot is probably not the
best tool for this.  Others have mentioned how to use cmr and other
fonts within R, or I mentioned the tool for converting a .eps file to a
.pgf file that when input into LaTeX will use the current fonts.

Gnuplot is a fine program for what it was designed for, but as you want
more and more sophisticated statistical plots it will become more and
more frustrating to do them using gnuplot.  Gnuplot was not really
designed as a statistical tool (more a mathematical one).

I once heard that the difference between a mathematician and a
statistician is that one knows the difference between a variable and a
constant and the other one doesn't.  I think the difference between
mathematicians and statisticians can be seen in the response to the mean
value theorem:  the mathematician sees it and says "cool, I can compute
averages using integrals", the statistician sees it and says "cool, I
can compute integrals using averages".

Hope this helps,