example of small multiple scatter plots and marginal densities in R

multi_scatter.R

ninputs = 3 # across the columns 
noutputs = 2 # down the rows
iin = c(1,2,3) # indices for the inputs 
jout = c(4,5) # indices for the ouputs 
# example data frame: 
npoints = 2**14  
data.set = data.frame(X1=rnorm(npoints), X2=rnorm(npoints), X3=rnorm(npoints))
data.set = transform(data.set, X4=X1*X2+0.1*X3**2, X5=2*X2+X1+0.1*X3**2)

# the width/height are set by \showthe\columnwidth \textheight in latex
png("scatter_mat.png", height=6.500000276740003, width=8.215175176421752, units="in", pointsize=14, bg="transparent", res=600)
# bottom, left, top, right 
par(mar=c(0,0,1,0), oma=c(0,0,0,0), fg="#00000022", col.axis="#00000080") # reduce margin, line-width, make axis grid and labels transparent

# add an extra row/column to provide labels
layout(matrix(seq((ninputs+1)*(noutputs+1)),noutputs+1,ninputs+1,byrow=TRUE), widths=c(1,rep(4,ninputs)), heights=c(1,rep(4,noutputs))) # adjust the first float in widths/heights to change the 'label' histogram size 

dens = density(data.set$X1, bw="sj")
plot(dens$x, dens$y, axes=FALSE, type="n") # blank plot at 1,1 in the corner
# histograms across the top row: 
for(i in iin){
  dens = density(data.set[,i], bw="sj")
  plot(dens$x, dens$y, col="black", axes=FALSE,main=names(data.set)[i],cex=0.1)
}
for(j in jout){
  # row label:
  par(mar=c(0,1,0,0), mgp=c(0,0,0)) # add room to the side for the ylabel 
  dens = density(data.set[,j], bw="sj")
  plot(-dens$y, dens$x, col="black", axes=FALSE, ylab=names(data.set)[j], cex=0.1)
  # scatter plots: 
  for(i in iin){
    par(mar=c(0,0,0,0)) # remove the margin 
    plot(data.set[,i], data.set[,j], pch=19, col="#00000022", cex=0.2, lwd=0.1)
  }
}
dev.off()