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save the file (the authomatic file extension will be .Rnw) and try to compile the file ("Compile PDF" button). You should be prompted a PDF: congratulations, this is your first LaTeX file!
Sweave
Download Readapting the file http://leisch.userweb.mwn.de/Sweave/example-1.Snw and open it in RStudio to work with knitr, we can add this example of including a plot in LaTeX from a R built-in dataframe:
\begin{figure}
<<boxplot, eval=TRUE, echo=FALSE>>=
boxplot(Ozone ~ Month, data = airquality)
@
\caption{This is some caption.\label{lab}}
\end{figure}
http://www.statistik.lmu.de/~leisch/Sweave/Sweave-manual.pdf
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