AFAIK You cannot include eps files if you use pdflatex to create your pdf from your latex files, however if you use pdflatex you can include png files. Thats one choice you will have to make..
Eps -> Latex -> Dvipdf
Png -> Pdflatex
Now inside gnuplot you have to tell it to output to whatever format you want. I usually go with eps (they tend to look better when scaling, for me at least). This is the command I give.
Code:
set term pos eps color enhanced defaultplex "Helvetica" 26
After this you would set your output file like this
Code:
set output 'Graph.eps'
And then you can go ahead and plot as normal. Now instead of being able to see the plot, it will just create a file for you called Graph.eps. You can view this is evince if you want to see what it looks like.
Also, there is a terminal option called epslatex, using this gnuplot will create an eps of the graph, as well as a latex file that you can just include (or copy the contents of) to put the graph into a document.
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