Go to

http://www.r-project.org/

and install R.

Open R, copy-paste each line below and hit return, and see what happens (it's OK if things don't make sense):

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# start the online help
help.start()
x <- rnorm(50)
y <- rnorm(x)
x
y
?rnorm
plot(x, y)
?plot
ls() # see which R objects are in the workspace
rm(x, y) # remove objects no longer needed
ls()
x <- 1:20 # make x = (1, 2, . . . , 20)
x
w <- 1 + sqrt(x)/2
w
dummy <- data.frame(x=x, y=x+rnorm(x)*w) 
dummy
fm <- lm(y ~ x, data=dummy) # fit a simple linear regression of y on x
summary(fm)
attach(dummy) # make the columns in the data frame visible as variables
lrf <- lowess(x, y) # make a nonparametric local regression function
plot(x, y) # standard point plot
lines(x, lrf$y) # add in the local regression
abline(0, 1, lty=3) # the true regression line: (intercept 0, slope 1)
abline(coef(fm), col='red') # unweighted regression line
detach() # remove data frame from the search path
q() # quit the R program
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