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What is XGobi and what is it for?

A program for plotting scatterplots and 2D projections of
multidimensional datasets, for spinning them, highlighting points
interactively, and  for exploratory projection pursuit (finding 
interesting 2D projections).  You can link multiple views in multiple
instances of the program.

Probably the exploratory projection pursuit and the brushable scatter
plots are the most useful parts in my experience.

Runs on most Unix/Linux/Windows X11 displays.

See http://www.research.att.com/areas/stat/xgobi/
for the `sales pitch' (it is free for non=profit distribution) and links
to the source.  A lot of bugs got fixed late in 99, so try a recent
version.  The Windows port is at

http://www.stats.ox.ac.uk/pub/SWin/xgobi.zip

and Unix and Windows interface pacakages called xgobi are on CRAN.