
As the sketch map above, you can imagine the upper one is a plot of parameter
iplots package comes pretty close to this, though there's technically no 'zooming'. iplots has interactive linked plots implemented with a Java GUI. You can select points on one plot and the same points become highlighted in other plots. The website for the package is here.
library(iplots)
data(Cars93)
iplot(Cars93$Horsepower, Cars93$MPG.city)
ihist(Cars93$Horsepower)
Here, I've selected some points in the left scatterplot, turning them red, and they also become highlighted in the right histogram (histogram is the closest they have to a density plot).
